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Egypt Workshop: CREDIT RISK MODELING

Background

Credit risk management along with credit risk modeling constitutes a framework for measuring the risks associated with traditional banking products such as Loans, Letters of Credit, Credit Commitments etc. In today’s times, lending money is a risky business since default chances are getting higher, leading to more losses in the banking portfolios.

Credit risk modeling is the cornerstone of credit assessment. Increased competition and statutory disclosure requirements have forced Banks to take note of the importance of credit risk modeling. 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 financial sector is still to date recovering from the financial crisis that shook its foundations. Nowadays, the main challenge for Banks consists of developing a comprehensive risk modeling framework that is able to aggregate the different risk types and help Banks understand the interdependencies between these risk types and at the same time reflect various quantitative analyses techniques with all their qualitative considerations.

The interaction between IFRS 9 and the Basel Framework is at the core of Credit Risk Modeling and managing this interaction is the cornerstone of the success of risk management practices. The present workshop aims at familiarizing participants with modeling techniques for IFRS 9 ECL computations from an implementation perspective and delve deeper into understanding the interconnectedness between IFRS 9 and the Basel Framework. We will discuss the underlying concepts, data requirements, key decision points as well as implementation challenges for various modeling techniques. The workshop will include several case studies to assist participants in the practical application of theoretical concepts discussed.

Objectives

Upon completion of the workshop, participants will be able to:

  • Enhance their knowledge of modern requirements for measuring financial instruments and disclosing risks in accordance with IFRS 9;
  • Understand the current developments in the calculation of the Expected Credit Loss Model;
  • Define the basic principles of the Expected Credit Loss Model;
  • Understand the transition from the Incurred Loss Model system to the Expected Credit Loss Model;
  • Understand and apply the concept of Impairment;
  • Gain an in-depth knowledge of the new provisioning system;
  • Understand the importance of the sound interaction between the application of the IFRS 9 Standard and the Basel Framework.

Prerequisite Knowledge:

  • Participants should have a general knowledge of the Basel Committee requirements and the IFRSs;
  • Knowledge of the English Language is very important

Who should attend?

  • Regulatory authorities
  • Chief Financial Officers and Financial Controllers and Analysts
  • Treasury Managers and Staff
  • Risk Managers and Risk Analysts
  • Internal Audit

Main Topics and Agenda:

Day 1:

  • The rationale and effects of the global financial crisis;
  • Overview of the scope and objectives of the IFRS 9 standard and presentation of the new amendments;
  • Methodologies to be used for the calculation of Expected Credit Losses;
  • Classification of major credit portfolios within the three stages specified in the standard;
  • Practical case studies and exercises.

Day 2:

  • Measuring 12-Month and Lifetime Expected Credit Losses;
  • Forward looking and through-the-cycle (TTC) PD Modeling techniques;
  • Definition and transfer from one Stage to another within the staging criteria specified under the IFRS 9 Standard (Stage 1, Stage 2 and Stage 3);
  • Definition of Default;
  • Economic and Non-Economic External Factors for forward looking estimations;
  • Practical case studies and exercises.

Day 3:

  • The new Basel Standardized Framework for Credit Risk;
  • Interaction between the Basel Framework the IFRS 9 Standard and Capital Planning;
  • Practical case studies and exercises.

Day 4:

  • Local Regulatory Framework
  • Probability of Default (PD) – calibration and validation;
  • Loss Given Default (LGD) – Discount rate in LGDs;
  • Fitting it all together – RAROC Models;
  • Validation of a Credit Risk Model;
  • Practical case studies and exercises.

SPEAKERS

Dr. Rodrigue Abi-Elhesn

  • Senior Manager and Group Head of Strategy & Risk Analytics at Credit Libanais s.a.l, Beirut, Lebanon
  • University Lecturer at the Saint Joseph University in Lebanon
  • Trainer and lecturer with the UAB and several regional and international organizations
  • Rigorous academic credentials, INSEAD Alumnus, Rodrigue graduated from the INSEAD AMP, holds a Master’s degree in Banking and Finance, has a Bachelor degree in Finance and in Business Administration from UQÀM in Canada.

Expert from the International Internal Audit Institution.

 

SCHEDULE AND LANGUAGE:

Registration: the first day from 8 am to 9 am.

Schedule: from 9:00 am to 15:00 pm daily.

Workshop language: English (is a must) and Arabic.

MEANS OF PAYMENT

By transfer to Union of Arab Banks account at:

Banque misr – Zamalek Cairo Branch

Address: 10 EL Kamel Mohamed St. Zamalek Cairo Egypt

Swift Code: BMISEGCXXXX

Account No: 1550120000046829

Beneficiary Name: Union of Arab Banks

Or Cash on Presence.

April 12 2020

Venue

INTERCONTINENTAL SEMIRAMIS, CAIRO – EGYPT

INTERCONTINENTAL SEMIRAMIS, CAIRO - EGYPT
Cairo, Egypt

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Egypt Workshop: CREDIT RISK MODELING

Background

Credit risk management along with credit risk modeling constitutes a framework for measuring the risks associated with traditional banking products such as Loans, Letters of Credit, Credit Commitments etc. In today’s times, lending money is a risky business since default chances are getting higher, leading to more losses in the banking portfolios.

Credit risk modeling is the cornerstone of credit assessment. Increased competition and statutory disclosure requirements have forced Banks to take note of the importance of credit risk modeling. 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 financial sector is still to date recovering from the financial crisis that shook its foundations. Nowadays, the main challenge for Banks consists of developing a comprehensive risk modeling framework that is able to aggregate the different risk types and help Banks understand the interdependencies between these risk types and at the same time reflect various quantitative analyses techniques with all their qualitative considerations.

The interaction between IFRS 9 and the Basel Framework is at the core of Credit Risk Modeling and managing this interaction is the cornerstone of the success of risk management practices. The present workshop aims at familiarizing participants with modeling techniques for IFRS 9 ECL computations from an implementation perspective and delve deeper into understanding the interconnectedness between IFRS 9 and the Basel Framework. We will discuss the underlying concepts, data requirements, key decision points as well as implementation challenges for various modeling techniques. The workshop will include several case studies to assist participants in the practical application of theoretical concepts discussed.

Objectives

Upon completion of the workshop, participants will be able to:

  • Enhance their knowledge of modern requirements for measuring financial instruments and disclosing risks in accordance with IFRS 9;
  • Understand the current developments in the calculation of the Expected Credit Loss Model;
  • Define the basic principles of the Expected Credit Loss Model;
  • Understand the transition from the Incurred Loss Model system to the Expected Credit Loss Model;
  • Understand and apply the concept of Impairment;
  • Gain an in-depth knowledge of the new provisioning system;
  • Understand the importance of the sound interaction between the application of the IFRS 9 Standard and the Basel Framework.

Prerequisite Knowledge:

  • Participants should have a general knowledge of the Basel Committee requirements and the IFRSs;
  • Knowledge of the English Language is very important

Who should attend?

  • Regulatory authorities
  • Chief Financial Officers and Financial Controllers and Analysts
  • Treasury Managers and Staff
  • Risk Managers and Risk Analysts
  • Internal Audit

Main Topics and Agenda:

Day 1:

  • The rationale and effects of the global financial crisis;
  • Overview of the scope and objectives of the IFRS 9 standard and presentation of the new amendments;
  • Methodologies to be used for the calculation of Expected Credit Losses;
  • Classification of major credit portfolios within the three stages specified in the standard;
  • Practical case studies and exercises.

Day 2:

  • Measuring 12-Month and Lifetime Expected Credit Losses;
  • Forward looking and through-the-cycle (TTC) PD Modeling techniques;
  • Definition and transfer from one Stage to another within the staging criteria specified under the IFRS 9 Standard (Stage 1, Stage 2 and Stage 3);
  • Definition of Default;
  • Economic and Non-Economic External Factors for forward looking estimations;
  • Practical case studies and exercises.

Day 3:

  • The new Basel Standardized Framework for Credit Risk;
  • Interaction between the Basel Framework the IFRS 9 Standard and Capital Planning;
  • Practical case studies and exercises.

Day 4:

  • Local Regulatory Framework
  • Probability of Default (PD) – calibration and validation;
  • Loss Given Default (LGD) – Discount rate in LGDs;
  • Fitting it all together – RAROC Models;
  • Validation of a Credit Risk Model;
  • Practical case studies and exercises.

SPEAKERS

Dr. Rodrigue Abi-Elhesn

  • Senior Manager and Group Head of Strategy & Risk Analytics at Credit Libanais s.a.l, Beirut, Lebanon
  • University Lecturer at the Saint Joseph University in Lebanon
  • Trainer and lecturer with the UAB and several regional and international organizations
  • Rigorous academic credentials, INSEAD Alumnus, Rodrigue graduated from the INSEAD AMP, holds a Master’s degree in Banking and Finance, has a Bachelor degree in Finance and in Business Administration from UQÀM in Canada.

Expert from the International Internal Audit Institution.

 

SCHEDULE AND LANGUAGE:

Registration: the first day from 8 am to 9 am.

Schedule: from 9:00 am to 15:00 pm daily.

Workshop language: English (is a must) and Arabic.

MEANS OF PAYMENT

By transfer to Union of Arab Banks account at:

Banque misr – Zamalek Cairo Branch

Address: 10 EL Kamel Mohamed St. Zamalek Cairo Egypt

Swift Code: BMISEGCXXXX

Account No: 1550120000046829

Beneficiary Name: Union of Arab Banks

Or Cash on Presence.

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