Course Agenda

Course Agenda

Course Agenda

Event tutors: 

  • Roshni Patel, Director, Credit Portfolio, Capital Planning and Risk Strategy, Moody's Analytics 
  • Mark Spencer, Financial Services Accounting Advisory Leader, BDO UK LLP

Day 1

18th March 2019

08:30

Registration and refreshments

09:00

Challenges of Implementing IFRS 9

  • Update on IFRS 9 implementation and supervisory actions
  • Classification and measurement of financial instruments
  • ECL regime
  • EU vs UK vs US
  • Operational aspects of implementing IFRS 9

10:30

Morning break

11:00

 IFRS 9 Impacts 

  • Strategic impact of IFRS 9 
  • Consequences on decision making , pricing and business origination 
  • Operational impacts of implementing IFRS 9 
  • Transitional impacts of implementing IFRS 9 

12:30

Lunch

13:30

IFRS 9 model validation and supervision

  • Regulatory context
  • Interaction between IFRS 9, ELBE and IRB models
  • IFRS 9 Internal Validation framework
  • Key aspects of IFRS 9 model validation
  • Supervisory aspects on IFRS 9 models

15:00

Afternoon break

15:30

Hedge Accounting

  • Hedge accounting to reduce the volatility of financial statements
  • Alignment of hedge accounting with risk management practices
  • Different hedging relationships
  • Hedge effectiveness
  • The hedge ratio – the relationship between hedging instrument and hedging item
  • Update on macro hedging project

17:00

End of day one

Day 2

19th March 2019

08:30

Refreshments

09:00

Stress Testing Methodologies under IFRS 9

  • New challenges
  • Bottom-up balance sheet modelling
  • Stressed ECL estimation
  • Migration matrix integration
  • Quality assurance for data
  • EBA stress test 2018: methodological challenges & results

10:30

Morning break

11:00

IFRS 9 Models Assurance

  • Macro-economic variable choices
  • Point in time conversion
  • Forecasting
  • Significant deterioration
  • Expert credit judgement
  • Vendor models
  • Enhancing value through credit risk models

12:30

Lunch

13:30

IFRS 9 monitoring, benchmarking and validation 

  • Organisational stakeholders expectations
  • How to monitor and validate IFRS 9 solutions?
  • Comparison of methodologies and outputs across UK banks
  • What next?

15:00

Afternoon break

15:30

Regulatory response and moving forward

  • How has implementation gone and what has been learned?
  • Current expectations of regulators
  • Interaction between IFRS9 and other regulations
17:00

End of course

  • Roshni Patel, Director, Credit Portfolio, Capital Planning and Risk Strategy, Moody's Analytics 
  • Mark Spencer, Financial Services Accounting Advisory Leader, BDO UK LLP