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

Speakers: Matthias Schüler, Senior Manager, Risk Advisory – Financial Risk, Deloitte & Thomas Glischke, Senior Manager, Risk Advisory – Financial Risk, Deloitte

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

Speaker: Radka Margitova, Senior Manager – Financial Services Risk Consulting, Credit Risk, PwC

12:30

Lunch

13:30

IFRS 9 models 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

Speaker: Javier Calvo Martín, Partner, Management Solutions 

14:30

Afternoon break

15:00

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

Speaker: Ingrid Nemetz, IFRS Specialist, Enforcement, Finanzmarktaufsicht (FMA) / Austrian Financial Market Authority (FMA)

16:30

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

Speaker: Christian Sagmeister, Head of Economic Capital Methods,  Raiffeisen Bank International AG

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

Speaker: Dr. Jan-Philipp Hoffmann, Head of Value-At-Risk und Pricing Models, Deutsche Bank Gruppe

12:30

Lunch

13:30

Open panel discussion

Led by Dr. Carsten Dahremoeller, Risk Controller, Deutsche Postbank we will open the floor to speakers and delegates – discussing credit risk management with regards to the volatility that has been introduced by the IFRS9-standard and opening the floor to delegates to ask questions.

 

  • Volatility in capital requirements stemming from IFRS9-modelling
  • Current approach towards loan allocation and risk management
  • Next steps towards holistic management of IFRS9-capital requirements

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

Speaker: Ingrid Nemetz, IFRS Specialist, Enforcement, Finanzmarktaufsicht (FMA) / Austrian Financial Market Authority (FMA)

16:30

End of course