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Kuwait: Credit Risk Modeling under IFRS9

Kuwait: Credit Risk Modeling under IFRS9
22 - 23 April 2019 Courtyard Marriott, Kuwait City, State of City

BACKGROUND

The financial sector continues, to date, to deal with the aftermath of the most severe financial crisis since the Great Depression. Credit Risk Management sustained the strongest hit! In times of market turmoil, several weaknesses of risk management systems that had been developed in relatively benign market environments became apparent. The challenge today consists in refining and enlarging the traditional credit risk management repertoire on the one hand and in being more creative in the modeling and management of the asset life cycle on the other hand. Furthermore, a successful risk management system will allow for the interdependencies between the various types of risks and will contrast various quantitative analyses with qualitative considerations.

Only an integrated approach has the chance of giving a reliable picture of the upside and downside of the overall asset portfolio. With this in mind, the focus in the following is on the credit risk management part of an integrated enterprise risk management system.

OBJECTIVES:

IFRS 9 Financial Instruments has been a significant change to the accounting for financial instruments, in particular for financial institutions. This two-day workshop is to familiarize the participants with modeling techniques for IFRS ECL computations from an implementation perspective. We will discuss the underlying concepts, data requirement, key decision points as well as implementation challenges for various modeling techniques. Training workshop includes four case studies to help participants in real-life application of theoretical concepts discussed during the workshop.

PREREQUISITE KNOWLEDGE:

Having served in the Capacity of Credit Officer and/or Relationship Managers, and/or involved in Credit Management for no less than 2 years.
Knowledge of English
Willing & able to change

Key Learning Outcomes

Analyze the requirements of expected credit loss impairment model
Understand different modeling techniques available to estimate forward-looking PD, LGD and EAD
Understand the limitations and usage of various approaches for risk components estimation
Appreciate the requirement of advanced Machine Learning models used for IFRS 9
Analyze the model maintenance requirement due to IFRS 9 compliance
Understand the application of Auto AI and ML algorithms in the area of IFRS 9

WHO SHOULD ATTEND THIS WORKSHOP?

The course is designed for those who use financial instruments under IFRS or are intending to do so in the future, including accountants, internal auditors, risk analysts, members from model development and validation team and other finance professionals interested in improving their understanding of the credit modeling landscape under IFRS 9.

MAIN TOPICS:

Day-1
ECL ingredients and building blocks
Model Landscape for IFRS
PD Modeling
Forward look and TTC PD Modelling techniques for Corporate and SME portfolios
Forward look and TTC PD Modelling techniques for Retail portfolios
Case-Study 1: Forward Looking PD estimation
Forward look and TTC PD Modelling techniques for LDP and other portfolios
Lifetime PD Modelling
Case Study-2: Lifetime PD estimation

Day-2
The new world of Risk Management after IFRS9
LGD and CCF Modelling
Staging Rules
Case-Study 3: ECL computation
Advanced Topics
Advanced Machine Learning Models for IFRS
Is it time for Auto ML and Deep Learning?
Model Maintenance
Case-Study 4: Model Maintenance
Key implementation challenges

Speakers
Dinesh Chaudhary
Director, Risk Analytics
AI & ML - Aptivaa

Dinesh Chaudhary is presently Director of Artificial Intelligence & Machine Learning at Aptivaa Consulting. He has 13+ years of experience in banking, risk and capital management and risk analytics. He has headed Basel II IRB and AMA projects for top private banks in India and has been Subject Matter Expert for 10+ IFRS consulting projects for ME banks. He also has six years of experience with a large Indian private bank where he headed Basel II implementation and Corporate Risk Analytics team. Dinesh has done PGDM from Indian Institute of Management and is a certified FRM and PRM.

Majed Fanous
Chief Risk Officer, Bank Boubian

PARTICIPATION FEES:

$ 800 for UAB members
$ 1000 for Non-UAB members
fees include attending the workshop, receiving the material, refreshments and a daily lunch.

SCHEDULE AND LANGUAGE:

Registration: the first day from 8am to 9 am.
Schedule: from 9:00 am to 15:00 pm daily.
Workshop language: English

روابط سريعة
مقالات الرئيس، اعضاء مجلس الإدارة و الامين العام
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