Event Agenda

IFRS 9 Frankfurt Programme

Event Agenda | IFRS 9 Frankfurt 2018

Day 1 - Wednesday 14th November

08:30

Registration and refreshments

09:00

Challenges of implementing IFRS 9

  • Welcome, introductions
  • 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

Governance & IFRS9 impacts

  • Key governance challenges
  • Effective governance structures
  • Business consequences and impact on decision making
  • Pricing and new business origination
  • Capital management and how this feeds risk appetite
  • Capital ratio and risk adjusted performance management
  • Communication with management

12:30

Lunch

13:30

Credit risk steering – managing volatility 

  • Managing the on-going cost of risk post implementation
  • How to manage volatility in the balance sheet
  • Communication of volatility to senior management
  • Changes to models and impact of this due to volatility management

15:00

Afternoon break

13:30

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 - Thursday 15th November

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
  • Using challenger models as benchmark, is it going to be worth it?
  • Comparison of estimates across banks
  • Data management

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
  • Uniting risk and accounting under IFRS9
  • What next?

Speaker: David Gruenberger, Head of Section, Prudential Policy and Accounting, European Central Bank

17:00

End of course