IFRS9 VS CECL (Practical Workshop)
• Working-level knowledge of modelling and corresponding hands-on R software development.
• Working knowledge of lifetime PD modelling based on generalised linear modelling (GLM) and
survival analysis based on R implementation capability.
• Knowledge of the key EAD modelling techniques for wholesale as well as retail products.
• Knowledge of LGD structural modelling technique and understanding of regression modelling
(e.g., Tobit regression).
• Working-level-knowledge of staging allocation process and practical implementation.
• Deep understanding of ECL computational mechanisms.
• Deep grasp of ECL validation techniques.
Horas:
13
13
Sesiones:
2
2
Fechas:
2023-08-23
2023-08-23
Horario:
Mi: 10:30 a 17:00, Ju: 10:30 a 17:30
Mi: 10:30 a 17:00, Ju: 10:30 a 17:30
Descripción
The course will provide attendees a comprehensive knowledge of IFRS9 credit risk modelling with
hints on CECL. A hands-on approach is followed by providing both the theoretical and practical toolkit
to use on a day-by-day basis. The open-source statistical software R paves the way for grasping all
details required to create customized analysis. Three main parts are identified: introduction to credit
risk modelling for ECL, lifetime analysis, and finally ECL computation by factoring silos components.
1. The key instruments used for modelling ECL components are explored. A wide use of the software
R characterizes the course from the very beginning. In the initial sessions, the emphasis is on
developing point-in-time Probability of Default (PD). An extensive interaction with R paves the
way for the next areas of the program.
2. The focus of the second part of the journey is to expand the time horizon to encompass the entire
lifetime. On this, generalized linear models together with survival analysis are investigated for
deriving lifetime PD curves. Then, the focus shifts towards Exposure at Default (EAD) modelling,
where specific attention is devoted to behavioural modelling. Finally, the key concepts around loss
given default (LGD) are presented.
3. The third part of the journey connects the key ingredients to estimate the Expected Credit Losses
(ECLs). Scenario analysis together with staging allocation are at the very heart of the IFRS9
requirements. On this, a hands-on perspective is followed in an attempt to bring to common
factor the most relevant experiences among different countries. Finally, we point out the key issue
one needs to bear in mind when implementing an ECL framework. Attention is devoted both to
managerial as well as the audit perspectives.
Dirigido A:
The Latest From The Best
Conoce a nuestro profesorado
Tiziano Bellini
Director BlackRock Financial Market Advisory (FMA) London
Tiziano es Director de Asesoría de Mercados Financieros (FMA, por sus siglas en inglés)
en BlackRock Londres. Anteriormente, trabajó en el banco de inversiones Barclays, en
Servicios de Asesoría Financiera en EY Londres, en las oficinas centrales de HSBC,
en Prometeia en Bolonia y en otras compañías italianas líderes. Es profesor invitado
en el Imperial College de Londres y en la London School of Economics and Political
Science. Anteriormente, se desempeñó como profesor en la Universidad de Bolonia y
en la Universidad de Parma. Tiziano es autor de “Stress Testing and Risk Integration
in Banks: A Statistical Framework and Practical Software Guide (in Matlab and R)”
y “IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with
Examples Worked in R and SAS”, ambos editados por Academic Press. Ha publicado
en el European Journal of Operational Research, en Computational Statistics
and Data Analysis y en otras revistas arbitradas de prestigio. Tiziano ha impartido
numerosos cursos de capacitación, conferencias y presentaciones sobre estadística,
administración de riesgos y métodos cuantitativos en Europa, Asia y África. Obtuvo su
doctorado en Estadística en la Universidad de Milán, después de ser un estudiante
de doctorado visitante en la London School of Economics and Political Science en
Londres. Es contador público calificado y auditor registrado.
