Methodologies for IFRS 9 ECL Modeling

Description

Description

The IFRS 9 Expected Credit Loss (ECL) Modeling Training offers a comprehensive guide to understanding and implementing the ECL calculation as mandated by the IFRS 9 accounting standard. It begins with an introduction to the fundamentals of risk management, regulatory frameworks, and their implications for financial statements and loan loss provisioning within banking portfolios. By the end of the training,

participants will have a clear understanding of the IFRS 9 ECL modeling techniques and be equipped with the knowledge and skills to develop and implement these models effectively within their organizations.

 

Target Audience:

Credit Risk, Underwriters, Compliance, Regulatory Reporting, Audit, Other finance professionals engaged in credit provisioning and financial reporting under the IFRS 9 standards.

 

Course Outline

Introduction

  • Risk Management
  • Regulatory Frameworks
  • Financial Statements
  • Loss Loan Provisioning
  • Banking Portfolios

 

ECL Framework

  • Background, Scope and Impact
  • ECL Overview
  • Impairment Stages
  • SICR
  • One-Year ECL
  • Lifetime ECL
  • Macroeconomic Overlay
  • Key Considerations

 

ECL Modeling Approaches

  • ECL Components: PD, LGD and EAD
  • Simplified & Generalized Approaches
  • Top-Down (Portfolio Level) vs. Bottom-Up (Loan-Level) Approaches
  • Survival Analysis for Lifetime PD Estimates using Panel Data

 

ECL Model Components: PD Modeling

  • One-Year PD Modeling
    • Default Tagging
    • Data Preparation
    • Modeling Approaches
    • Adjustments / Overlays
  • Lifetime PD Model
    • Data Preparation
    • Modelling Approaches
    • Adjustments / Overlays

 

ECL Model Components: LGD Modeling

  • Data Requirements
  • Modeling Approaches
  • Two-Stage LGD Models
  • Advanced LGD Models
  • Challenges in LGD Modeling

 

ECL Model Components: EAD Model

  • EAD Definition
  • Post-Default Exposures
  • EAD Data Set
  • CCF
  • EAD Modeling

 

ECL Aggregation

  • ECL = PD x LGD x EAD
  • ECL Calculation

 

RESOURCE SPEAKER:

Mr. Ricardo Ian P. Copia
Training Consultant

 

SCHEDULE:

June 5, 2026 (Friday) 9:00 AM – 5:00 PM

 

Training Fee Per Participant:

Member Institution – Php3,920.00

Non-Member Institution – Php5,040.00

*VAT inclusive

 

REGISTER HERE!