Expected Credit Loss Modelling

The single biggest change brought in by IFRS 9 Financial Instruments is expected credit loss (ECL) impairment accounting. The impairment requirements in IFRS 9 radically change how financial assets loss provisioning is considered in the financial statements from incurred credit loss to expected credit loss. The ECL impairment requirements entities to use techniques that require them to arrive at an estimate of losses based on their expectations of future conditions. By its very nature it is modeling and data intensive.

Key Topic:

• Understanding of the requirements of IFRS 9 on incurred loss modeling
• Advanced Ms. Excel skills for modeling
• Techniques for ECL Modeling (Altman Z, Migration Matrix, Credit Score Card)
• Calculation of Probability of Default (PD)
• Calculation of Loss Given Default (LGD)
• Calculation of Exposure at Default (EAD)
• Estimating Significant Increase in Credit Risk
• Estimating Credit Risk Measure
• Estimating ECL Impairment Provision
• Methods, processes, and systems used to measure, validate, and limit credit exposures.