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Stress testing the impact of macroeconomic scenarios on PD movements has been the industry’s most talked about topic this year. Why is it so important to build accurate stress tests to forecast IFRS 9 figures?

The behaviour of ECL under stable macroeconomic circumstances can be reasonably managed by any bank. However, the behaviour under adverse circumstances and adverse outlooks behaviour of ECL may be highly volatile and unexpected. Proper insight into expected behaviours is the key to manage the bank’s risks.

How are banks currently working towards translating economic scenarios to the bank’s loan portfolio?

The IFRS9 models allow for in-depth understanding of the relation between macro-economy and expected losses, both on one year and lifetime horizon. The challenge is to take advantage of this understanding within macroeconomic forecasts, in particular with respect to the relevant horizon of accurate forecasts.

What considerations need to be made surrounding data limitations, validation and methodology to achieve this?

As IFRS9 requires consistency and alignment between many areas within the risk and finance worlds, key considerations are how to integrate information from the various fields into a consistent data platform for ECL. This requires extensive alignment and in particular work on data lineage from start to end throughout the organisation.

What are the key components, infrastructure and tools required to drive the process?

The key for a successful implementation of IFRS9 is the proper integration of front office/risk/finance systems with proper data lineage from source to the ECL calculator and from the ECL calculator back to the ledgers. The second requirement is an efficient calculation engine, integrating IFRS9 and ST methodology, using this setup to obtain grip on (adverse) ECL behaviour.

What would you like to achieve by attending the 6th Edition Credit Risk Modelling and Management under IFRS9 Conference?

Within the IFRS9 and ST field, there are many directions for future developments. I would like to align with experienced participants the area of focus for IFRS9 in 2018-2019.

Ahead of the 6th Edition Credit Risk Modelling and Management under IFRS9 Conference , we spoke with Maikel van Herel, Head of IFRS 9 Models at Rabobank about the importance to build accurate stress tests to forecast IFRS 9 figures.

To view the Conference Agenda, click HERE!

About the Conference:

This marcus evans conference will enable you to overcome the immediate post-implementation issues of IFRS9. You will learn how to best validate models and key strategies to effectively source and manage the data for IFRS9 calculation.  Furthermore, you will hear more about what is expected from the regulators and the auditors, and how their feedback can be incorporated to existing models. Finally, you will hear from industry experts how to move forward post-implementation to incorporate IFRS9 into business as usual processes.

The 6th Edition Credit Risk Modelling and Management under IFRS9 Conference will take place from the 25th to 27th of June 2018 in London, UK. 

To view the Conference Agenda, click HERE!

Copyright © 2018 Marcus Evans. All rights reserved.

About the speaker:

Maikel van Herel, working for Rabobank within the Credit Modelling domain since 2004. Over 13 years experience on a wide area of topics within the Credit Risk domain, including development of PD, EAD/ LGD models, capital models, risk/return (RAROC) models, Migration Matrices, Maturity Adjustments, Stress Testing, etc. Since 2016 as Head IFRS9 Models responsible for the development of group-wide IFRS9 impairment models, including staging framework and ECL methodology. As Head of IFRS9 Modelling responsible for a team of +/- 30 internal and external modellers that developed the banks IFRS9 models for the all customer Rabobanks customer segment. Member of Rabobank Model Design Authority, representing the IFRS9 perspective within the bank’s model development, safeguarding the development of multi-purpose models that suit the needs of AIRB, IFRS9 and Stress Testing.

Why is it so important to build accurate stress tests to forecast IFRS 9 figures?

An interview with Maikel van Herel, Head of IFRS 9 Models at Rabobank

Maikel van Herel, Head of IFRS 9 Models, Rabobank

Speakers Include: 
  • Bank Pocztowy
  • Citi
  • Erste Group
  • FBN Bank
  • Magyar Nemzeti Bank
  • Nomura
  • Permanent TSB
  • UBS
  • UniCredit
  • Volksbank Wien

Previous Attendees Include:
  • AlphaBank 
  • Barclays
  • BBVA
  • BNP Paribas
  • Credit Suisse
  • DanskeBank
  • HSBC
  • ING
  • Landsbankinn
  • MetroBank

For more information, please contact: Yiota Andreou

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