Course Agenda

Agenda

Understanding and Preparing for CECL

Day 1 - Wednesday 20th February 2019

09:00

Registration and refreshments

09:30

CECL – key challenges & opportunities

  • Refresher on CECL fundamentals
  • FASB and TRG updates
  • Hot Topics
    • Reasonable & supportable, and reversion
    • Purchased credit deteriorated assets
    • Determining the contractual life of revolving credit products
  • Audit initial areas of focus

Speaker: John Lyons, Director, KPMG, Accounting Advisory Services

11:00

Morning break

11:30

CECL impacts

  • CECL impacts: Credit Risk Managements and profitability forecasting
  • CECL impacts: Disclosures to investors
  • Adjusting strategies to maximise return under a new element of forward looking risk 
  • Emerging industry practices

Speaker: Laurent Birade, Senior Director, Moody's Analytics 

13:00

Lunch

14:00

CECL Quantification Methodology

  • Why is segmentation critical to loss quantification?
  • Leveraging existing capabilities for CECL modeling
  • How to determine reasonable and supportable forecasts
  • Will Q-factor adjustments be business as usual for reserves?

Speaker: Grigoris Karakoulas, President and Founder, InfoAgora Inc. 

15:30

Afternoon break

16:00

CECL Quantification: Part II

  • Modelling considerations by asset class
  • Alternative modelling methods, pros and cons, examples
  • Data requirements for each method
  • Input variable selection
  • Model development

Speaker: Grigoris Karakoulas, President and Founder, InfoAgora Inc. 

17:30

End of day one

Day 2 - Thursday 21st February 2019

09:00

Refreshments

09:30

Stress testing under CECL

  • The use of preliminary CCAR models for stress testing
  • Business lines creating allowance compared to the centralized allowance team
  • Ensuring consistency & growth; running CECL as CCAR
  • Using CCAR models for allowance
  • What have we learned from IFRS9 to help meet CECL deadlines?

Speaker: Julio Rivera, VP, Director of CCAR and CECL Model Implementation, Production & Reporting, US Bank

11:00

Morning break

11:30

Model risk management for CECL models

  • Testing the models for CECL use
  • Evaluating CECL assumptions
  • Qualitative adjustments and their dependency on model limitations
  • Governance

Speaker: Nav Vaidhyanathan, Group VP Model Risk Management , M&T Bank

13:00

Lunch

14:00

The ALM side of CECL: Why robust ALM matters? 

  • Interplay of Credit Risk and ALM in CECL 
  • Why a robust ALM process is necessary for CECL 
  • Prepayment Models and behavioural life
  • How to leverage ALM data and platform

Speaker: Prashant Dinodia, Principal Industry Consultant, SAS

15:30

Afternoon break

16:00

Governance

  • Complete governance around CECL process
  • Current ALLL framework adapted – where are the deltas?
  • Impact analysis – What type of analysis should be done?
  • Decision and assumptions vetting
  • Beyond CECL

Speaker: Dr Michael Jacobs, Senior Quantitative Analytics & Modelling Expert, PNC

17:30

End of course