IFRS 9 – Modelling for Expected Credit Losses

June 6 – 7, 2017 – Toronto

IFRS 9 implementation project targets for testing and parallel runs are quickly approaching. ECL calculations under IFRS 9 present complex new challenges for regulatory capital and credit risk management.

Time is becoming critical as the implementation date is fast approaching. This in-depth, information packed course has been developed specifically to tackle the expected credit loss rules in a practical and substantive manner.

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Course Outline

In this course, you will learn about IFRS 9, its requirements, implementation challenges and the range of approaches that can be used to determine the loan loss parameters and cyclicality adjustments. You will also learn about the interplay of IFRS 9 with other standards and challenges emanating from the lack of a modelling infrastructure, especially at Standardized Approach banks.

The course takes place over two days, from 9:00 a.m. to 4:30 p.m. Lunch will be provided on both days.  In addition, there will be a continental breakfast each morning and two breaks during each day (morning and afternoon).

Course Objectives
  • Understand key concepts discussed in IFRS 9 including Cycle-adjusted Lifetime Expected Credit Losses and take stock of Stage-based Assessment of loans
  • Understand the differences between IFRS 9, Basel 2 IRB and IAS 39
  • Learn more about the sensitivity of asset classes relative to the business cycle and how IFRS 9 addresses the variance caused in credit worthiness by the business cycle
  • Design and implement modelling options and ascertain their data requirements
  • Develop a view of adoption and implementation challenges, including strategies to address these challenges
  • Using a 360-degree lens, understand the notion of ‘fair provisioning’ What does it mean for the
    • CRO and the CFO
    • regulator
    • accountant
    • corporate banker
  • Plan for post-IFRS 9 audit engagement and regulatory examination
  • Learn to design IFRS 9 models using raw data and utilizing a spectrum of approaches
    • vintage & roll-rate analysis
    • default rate estimation
    • PD method
    • scorecard approach using PD mapping and calibration
    • gain insights into developing term structure of PIT PDs using Markovian approach,
    • Loss distribution and Merton models
  • Interpret the modelling results in conjunction with existing risk metrics and loan loss provisioning frameworks
    • how to mobilize an IFRS 9 project
    • how to overcome low default portfolio challenges
    • how to design management reporting dashboard
    • what validation approaches to use
    • anticipate and develop responses to meet audit and regulatory requirements

Registration Fees

May 1, 2017
May 15, 2017
May 15, 2017
IFRS 9 - Modelling for Expected Credit Losses        $2,099.00 + HST $2,199.00 + HST $2,299.00 + HST

Our HST Number: R862562543

Group Discount: Fourth Delegate FREE!

If three individuals from one organization register at the same time, a fourth person may also be registered to attend free of charge. The free registration must be of equal or lesser value than the paid registrations. Please contact us to arrange for attendance of larger groups.

Your Registration Includes

Registration fees include all conference materials, continental breakfast, lunch and refreshments. Parking and accommodation are not included.


As a registered delegate, you will receive a complete set of conference materials. These materials will serve as an invaluable guide, both during and after the event. The workbook will be distributed on the morning of the first day beginning at 8:00 a.m.

Cancellation Policy

Substitutions may be made at any time. If you are unable to attend, please make cancellations in writing and fax to (416) 504-6978 prior to 5:00 p.m. on May 22, 2017. A credit voucher will be issued to you for the full amount, redeemable against any other Acumen conference. If you prefer, you may request for a refund of fees paid less $250 administration fee. Registrants who cancel after above date will not be eligible to receive any credits or refunds and are liable for the entire registration fees.

Confirmed delegates who do not cancel before May 22, 2017, and fail to attend will be liable for the entire registration fees.

Acumen Information Services reserves the right to change the date, location and content for the event(s) offered herein without further notice and assumes no liability for such changes.

Early Bird Registration Discount

Register prior to to May 15, 2017 and you will obtain the following additional savings:

Second delegate: $100  Discount
Third delegate: $150  Discount
Fourth delegate: FREE

Please indicate that you are eligible for this offer on the registration page or your registration form if you are mailing in your registration.

Location – Accommodation

The venue for this event is:

Novotel Toronto Center
45 The Esplanade
Toronto, Ontario
M4E 1W2

Tel: 416-367-8900

Delegates can register at the Acumen service desk beginning at 8:00 a.m. on the morning of the first day of the conference. Registration fees do not include hotel accommodation.

Program - June 6 - 7 

Qualitative Factors

  • How does it interplay with existing provisioning and capital standards?
  • How does IFRS 9 address pro-cyclicality risk?
  • Principles of IFRS 9 loan loss estimation
    • Stage-based migration of loans and advances under IFRS 9
  • Theoretical underpinnings of IFRS 9 approach
  • Challenges of IFRS 9
    • IFRS 9 loan loss parameters and their definitions
    • Lifetime Expected Credit Losses parameters
    • Survival probability
    • Conditional Probability of default and its term structure
    • Determination of Conditional Loss Given Default and LGD term structure
    • Exposure at Default and its mapping with the taxonomy of loans
    • Stage-based migration approach
    • Portfolio segmentation challenges
    • Treatment of low default portfolios
  • Preparing for IFRS 9 using impact assessment delta
  • Strategic view
  • External view
  • Internal view, including impact on business, risk, finance and IT

Quantitative Factors

  • Probability of default
    • Deriving Point in Time Probabilities of Default from Through-the-Cycle
    • Deriving Probability of Default using Default Rates
    • Term structure of probability of defaults and varying approaches
      • Merton’s approach
      • Markovian approach
      • Loss distribution approach
      • Pros and cons of each approach
  • Loss Given Default (LGD)
    • Loss Given Defaults and the concept of Economic Loss
    • Deriving Loss Given Defaults using work-out approach
    • Deriving Loss Given Default using Distance to Default Approach
    • Term structure of LGD using bootstrapping method
  • Exposure at Default
    • Prepayment modelling
    • Utilization modelling
    • Modelling on and off-balance sheet exposure, including the use of
      Credit Conversion Factors
  • Survival Probability Modelling
  • Business Cycle Modelling
    • Scenario development and design
    • Business Cycle sensitivity analysis
    • Rules of thumb approach
    • Indexation of business cycle
  • Forecasting
    • Macroeconomic forecasting
    • Maturity and pre-payment modelling
    • Loan book growth and attrition
  • IFRS 9: Modelling for Lifetime Expected Credit Losses
    • Top-down
    • Bottom-up
    • Hybrid
  • Expected credit losses modelling approaches from basic to best practice
    • Pre-requisites for best-in-class IFRS 9 modelling
    • Integration of macroeconomic data with expected credit loss
    • parameters and development of the probability-weighted scenarios
    • Development of business requirements for data and modelling – institution-specific alignment
    • Design of reporting dashboards and integration with pre-existing
    • reporting frameworks including risk appetite
    • Upgrading Risk IT applications and Financial IT applications to meet IFRS 9 challenges
    • IFRS 9 one-off challenges and business-as-usual alignment
  • IFRS 9 governance
    • Developing a post-IFRS 9-first cut roadmap
    • Key strategic decisions and managing regulatory expectations
    • Process governance and modelling governance
    • Role of compliance, policy and the requisite credit documentation
    • Preparing for audit engagement and supervisory examination
Sohail Farooq, Managing Director, Nexx Consultants

Sohail Farooq is Managing Director, Consulting Practice Leader at Nexx. He is a banking book risk expert, specializing in assisting financial institutions with the implementation of regulations.

With over 20 years of risk advisory and management experience, has also been an advisor to a few mid-sized financial institutions in EMEA, where he led the implementation of Risk & Finance development programs.

Prior to joining Nexx, Sohail worked at Oliver Wyman, where he led and contributed to several high profile risk and regulatory compliance engagements. He began his career at Scotiabank’s Global Risk Management in 1997 and then moved to CIBC in 1999. In 2004, he switched to FS consulting and has since assisted clients across North America and EMEA.


Mohamed Hanini, Senior Manager, Nexx Consultants

Mohamed specializes in derivatives valuation, simulation and risk modelling. Mohamed has been a financial services consultant since 2009. During this time he worked at Chappuis Halder & Co., PwC and EY. He also assisted Canada Research Chair of Stochastic Simulation and Optimization for a period of four years. During the time, he built a tool to construct Quasi Monte Carlo points efficiently in C++ and implemented financial derivatives for experimental purposes

His areas of expertise are:

  • Valuation, validation and implementation of plain vanilla and complex derivative products for North American and European banks
  • Validation of structured and insurance products o Hedge Fund Replication with linear Regressions o Quasi Monte Carlo Simulation and Operations Research
  • Fitting and forecasting the yield curve

Mohamed holds a M.Sc. in Mathematical and Computational Finance from University Of Montreal, Montreal, and a B. Sc. in Actuarial Science also from the University Of Montreal.

This conference has been specifically designed for, and in consultation with, experts in accounting for financial institutions as well as standard setters.  The event has been developed with the professional responsibilities of our audience as our focus.  As well, auditors, financial advisors, analysts, lawyers and other advisory professionals would benefit from staying current on the information provided at this timely event.  In particular, our experience indicates that individuals in the following positions would mostly likely be in attendance:

  • Chief Financial Officers
  • Chief Accountants
  • Chief Risk Officers
  • VPs, Directors and Managers
    • Finance
    • Accounting
    • Financial  Reporting
    • Regulatory Accounting
    • Risk Management/Reporting
  • Controllers
  • Internal Auditors
  • Audit Committee Members
  • Corporate Counsel
  • Risk Managers
  • Audit and Assurance Professionals
  • Industry Regulators and Standard Setters
  • Financial Analysts

To obtain a copy of the brochure, please send a request to the email below or click on the image of the brochure on this page.

e-mail at

Comments From Participants  Attending Acumen Conferences –Information You Can Work With

“…provided a very good high level summary of the key impacts of IFRS to financial institutions.”

Associate Chief Accountant
Bank of Montreal

“Presentations were clear even though topics were complex.”

Chief Financial Officer,
Société Générale

“Best conference I’ve ever attended.”

Senior Manager, Enterprise Hedge Accounting and Derivative Reporting
Royal Bank of Canada

“Suffice it to say that the conference delivered on my expectations…A lot has been taken away from this conference…$ well spent…”

V.P. Risk Management Advisory,
New Brunswick Credit Union Stabilization Board

“…excellent breadth of coverage of a very complex series of regulations…”

Senior Treasury Analyst,
Meridian Credit Union

“…helped to clarify my understanding of requirements of ORSA…”

Risk Management Consultant,
Empire Life Company

“Well rounded. Good flow.”

Manager, Capital Risk,

“Speakers were very knowledgeable, materials were current…examples and materials were relevant and well presented.”

Derivatives Accountant
Agrium Inc.

To submit questions to be answered at the conference, please send us an email at this address at

Limited sponsorship and exhibition options are available for this event, including

• Cocktail reception
• Luncheon sponsorship
• Breakfast sponsorship
• Booth/exhibit space

For more information, or to check availability,
please contact us by phone at (416) 504-6952
or by e-mail at