Date(s)

Perpetual Analytics Training on IFRS9 and GRAP 104 Impairment modelling, is designed to unearth practical challenges that impairment teams are experiencing. While the theory and back-ground on impairments is important to be equipped with, we find that practical application of the theory remains a challenge in the credit industry. Hence we have designed a module that focusses on resolving audit and internal stakeholder engagements. 

This is a 3-Day Training module for IFRS9 and GRAP 104 impairment modelling

Cost: ZAR 27 000.00

🕒Duration: 3 Days

Facilitator: Vusi January

Day 1: 

  • Input Data structures and validation:
    • Understanding of input data requirement for model building
    • Implement independent validation processes,
    • Sensitivity analysis of data movements, including seasonality impact
  • Stage-based impairment modelling:
    • Default definition assessment
      • Repeat default assessment
      • Credit Risk & collection’s strategies flags to be considered for default definition.
      • Cure periods assessment and implementation
    • Final Design and implementation the three stages of ECL recognition for both performing and non-performing assets
  • Discounted cash flow methodology:
    • Apply DCF techniques for ECL calculation, especially for long‑term instruments,
    • EIR tailored computations
    • Consideration of different types or collateral and impact
  • Masterfile creation for Model development
    • MF validation
    • MF trend analysis
    • Data, outlier understanding and treatment methods
    • Staging threshold testing
  • PD estimates computation:
    • Tailored approaches of achieving stable parameters,
    • Exploring data availability and time horizon
      • Time to Default
    • Model Calibration and Calibration period
    • Mean-square error minimisation techniques
  • LGD estimates computation:
    • Tailored approaches of achieving stable parameters,
    • Exploring data availability and time horizon determination
      • Time Since Default
    • Model Calibration and Calibration period
    • Mean-square optimisation techniques

Day 2: 

  • EAD estimates computation:
    • Tailored approaches of achieving stable parameters,
    • Exploring data availability and time horizon determination
      • Time to Default  
    • Model Calibration and Calibration period
    • Mean-square optimisation techniques

Day 3:

  • Scenario Generation & Forward-Looking Information
    • Design socio-economic scenarios (Base, Best, and Worse Scenario)
    • Integrate macroeconomic variables (e.g., GDP, unemployment, inflation) into PD/LGD estimates aligned with regulatory expectations.
    • FLI Scaler impact analysis
  • Model Governance & Audit‑Ready Documentation
    • Establish robust model governance: stage classification logic,
    • Staging thresholds,
    • Review cycles, and management overlays,
    • Prepare audit-ready deliverables (Audit Pack)
  • Validation, Back‑testing & Optimization
    • Perform independent validation: quantitative testing across PD, LGD, EAD lifetimes, compliance reviews, and qualitative documentation checks.
    • Conduct scenario back-testing: compare ECL projections to actual default outcomes, analyse staging transfer effectiveness, and apply overlays to mitigate staging delays
  • Regulatory Alignment & Audit Preparation
    • Align with IFRS 9 disclosure requirements
    • Rigorous explanations of staging shifts,
    • Assumptions, and sensitivity analyses
    • Preparing of senior management and audit committees engagements

The structure of these IFRS9/Grap104 modules is designed to bridges the gap between theoretical concepts and practical application, empowering professionals to develop IFRS 9-compliant ECL models confidently, ensure compliance, and support strategic decision-making across the credit lifecycle.

Non-endorsement

By using a service provider to offer the courses, the JSE does not directly or indirectly endorse any product or service provided, or to be provided by the service provider.