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Masterclass „IFRS 9 Financial Instruments” - Exec Edu, București

Tip eveniment
Curs In House
Data si locatie
Cere program personalizat:


I. KEY ASPECTS for proper implementation of IFRS 9 in the banking sector

  • Jan 2018 is the effective date to be applied for banking sector across Europe and for entire world banking community (since its final form issued in 2014);
  • IFRS 9 implementation has a wide range impact on a bank or non-banking financial institution business;
  • Business model completely changed from old IAS 39 ruled based approach to IFRS 9 principle based approach for financial instruments;
  • The Key impact on banking sector is on Impairment model and the major aspects will be addressed by this MasterClass.

II. MASTERCLASS MOTIVATING TARGET – to move ahead from past to a brighter future through mastering key aspects

  • IFRS — Basel comparison: Full value implementation seems complicated for the banks, and market participants try to apply Basel methodologies to credit allowance calculations. However, such approach is not satisfactory as it has be demonstrated by 2008 financial crisis.
    • First of all, Basel methodology does not comply with IFRS 9 requirements. The product of loan amount (called EAD) by one-year probability of default (PD) by loss-given-default (LGD) is not the same as net present value of the difference between contractual and expected cash flows (although the Basel expected loss formula can be used as an approximation for IFRS 9 credit allowances in particular cases).
    • The more important distinction of IFRS 9 from Basel is point-in-time estimators in credit models (unlike through-the-cycle estimators in Basel framework). Usual statistical methods in essence average the sample data, and to this extent they provide through-the-cycle estimators. More sophisticated statistical tools should be developed to work on point-in-time modelling.
    • But point-in-time modelling opens the opportunity to manage credit portfolios. IFRS 9 implementation may improve portfolio management and therefore, profitability of a Bank. High-quality risk management is not the cost, it is an efficiency driver.
  • MasterClass Targets: The purpose of this MasterClass is twofold.
    • It is important to give in-depth description of IFRS 9 credit allowance calculation.
    • But it is even more important to show how to apply these results to portfolio management, how to use them to improve business efficiency, how to unite segmental risk management techniques into bank management technologies.


  • In-depth understanding of credit portfolio modelling, management, and pricing;
  • Business-oriented approach to IFRS 9 credit allowance calculation;
  • Study cases and ready-to-apply methodologies for portfolio optimisation;
  • MasterClass materials which help you to improve your day-to-day activity.


MasterClass Agenda (Practical case)

Day 1

Portfolio management general framework: balance of asset and liability structures in focus, restricted set of management tools, regulatory restrictions, statistical models as an illusion theatre:

I.1.        Risk, Return, Liquidity, Legal, Term, Taxing issues in counterbalancing each other;

I.2.        Management tools for general management: planning, pricing, hedging, limiting;

I.3         Risk management in finance: classifications, attitude, high-level description of measurement;

I.4         Risk Appetite Statement: the only risk management tool that Risk management may offer to the Bank.

Expected loss calculation: approaches, motivation, IFRS 9 advantages, solutions:

II.1        portfolio credit models: credit risk spreading and maturing, roll rate models, point-in-time estimations, probability of default, loss given default, prepayment analysis, client behaviour;

II.2        individual and collective basis: criteria, comparison, IFRS 9 requirements, best wishes to implementation;

II.3        myths of IFRS 9: tests of significant increases in credit risk, scenarios in IFRS 9 calculations, disclosures, Basel applicability, et al;

II.4        collective approaches: advantages to individual ones, point-in-time estimators, macroeconomics embedded, back-testing, stress-testing, significant increases in credit risk and maturation effects (or how to not switch to lifetime calculations);

II.5        individual basis: building blocks (set of models: rating and PD models, loss realisation given past due, credit scenarios), significant increases in credit risk, credit allowance calculation.

Day 2

Reaching the target: key performance indicators:

III.1      Net interest income, NPV of loans, NPV corrected on the risk level, risk-adjusted loan yield;

III.2      capital issues: economic capital versus regulatory capital, capital donors and recipients, managerial accounting.

IV.          Risk- and liquidity-based pricing:

IV.1       Capital and liquidity buffer concepts;

IV.2       Weighed average cost of funds as a base for pricing;

IV.3       Individual pricing models;

IV.4       Portfolio pricing models.

V            New business optimisation:

V.1        optimal choice of operative plans for the new business;

V.2        maturation effects in optimal planning;

V.3        KPI setting;

V.4        Practical case.

VI.         IFRS 9 implementation: practical tools to manage a project:

VI.1       set of required methodological documents and decisions;

VI.2       business process aspects and integration;

VI.3       Basel III accord requirements and alignment;

VI.4       IT systems.


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