Advanced IFRS9 Modelling, Validation and Governance

As IFRS 9 frameworks mature, financial institutions increasingly focus on model performance, validation, governance and the effective incorporation of forward-looking information into Expected Credit Loss estimates.

This advanced course provides a practical deep dive into the quantitative and governance aspects of IFRS 9 modelling. Participants will explore advanced calibration techniques, macroeconomic scenario methodologies, management overlays, validation frameworks and model risk management practices used across leading financial institutions.

Through practical case studies and expert-led discussions, the course equips participants with tools and insights that can be directly applied to model development, validation and governance activities.

Agenda highlights

• Advanced IFRS 9 Framework Refresher: Key implementation challenges and lessons learned, Regulatory expectations and industry trends, Model risk in IFRS 9 environments
• Advanced PD, LGD and EAD Modelling: PIT vs TTC considerations, Calibration approaches, Segment-level modelling challenges, Low-default portfolios
• Macroeconomic Scenarios and Forecast Integration: Scenario design methodologies, Scenario weighting approaches, Model sensitivity analysis, Forecast uncertainty management
• Management Overlays and Expert Judgement: Overlay framework design, Governance requirements, Documentation standards, Regulatory expectations
• IFRS 9 Model Validation: Conceptual soundness reviews, Back-testing and benchmarking, Ongoing monitoring frameworks
• Model Risk Management and Governance: Governance structures, Model lifecycle management, Regulatory reviews, Audit readiness
• Advanced Case Studies: Macroeconomic shocks and ECL impacts, Overlay justification exercises, Validation challenge workshops

Training formula

Practical takeaways:

By the end of this course, participants will be able to:

• Assess advanced modelling methodologies for PD, LGD and EAD estimation.
• Design and evaluate forward-looking and macroeconomic scenario frameworks.
• Validate IFRS 9 models using quantitative and qualitative techniques.
• Assess model performance, stability and calibration quality.
• Develop and challenge management overlays and expert adjustments.
• Strengthen IFRS 9 model governance and regulatory readiness.

Participants will be able to contribute to:

• Advanced IFRS 9 model development projects
• Independent model validation activities
• Regulatory examinations and audits
• ECL governance frameworks
• Overlay and expert judgement processes
• Model monitoring and performance management
• IFRS 9 transformation and optimization initiatives

Target audience

This course is designed for experienced credit risk professionals involved in the development, validation, monitoring or governance of IFRS 9 models.

Explore the full programme

For a detailed training specification contact us at contact@perseinstitute.com.

The Perse Learning Experience

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