IFRS 9: Excel Modelling

Background and Significance

IFRS 9 reporting standards replaced the IAS 39 standards recently, requiring institutions which have credit exposure to report an ECL (Expected Credit Loss). This loss must be reported on an annual and a lifetime basis and comprises several components, some of which are difficult to estimate.

This practical course will offer some insights into the origin and possible future of these standards, and will assemble, step by step, an ECL example calculation.

Course Outline

  • A brief history of IAS 39 and IFRS 9
  • Rationale for the change
  • Components of the ECL metric
    • EAD – Exposure at Default – example approaches and calculations
    • LGD – Loss Given Default – example approaches and calculations
    • PD – Probability of Default – Through the cycle and point in time estimates, the vasicek formulation, matrix multiplication to determine the PD term structure, including macroeconomic variables and overlays
    • Forecasting – determining and setting appropriate weights for these
    • Discounting the product of these variables to determine the present value
  • One year and lifetime ECL estimates
Studied at the University of Stellenbosch (South Africa): Undergraduate triple major degree in Financial Management, Statistics and Investment Management. Honours degree at the University of Cape Town in Financial Analysis and Portfolio Management. Financial Engineering Master of Science degree in the department of mathematics and applied mathematics at the University of Pretoria. Passed CFA level...

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    Event Details
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    • Start Date
      15th Jul 2021 09:00
    • End Date
      15th Jun 2021 17:00
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