Advanced LGD modelling challenges under IFRS 9 (for practitioners)

LGD remains one of the most complex and judgment-intensive components of IFRS 9 Expected Credit Loss frameworks. Data limitations, changing recovery processes, forward-looking adjustments and portfolio-specific characteristics create significant modelling and validation challenges for financial institutions.

This advanced practitioner-focused course explores the methodological, data and governance challenges associated with LGD estimation under IFRS 9. Participants will examine real-world modelling approaches, calibration techniques, recovery modelling frameworks and validation considerations used across retail and wholesale portfolios.

Through practical case studies and expert discussions, the course provides actionable insights that can be directly applied to LGD model development, validation, monitoring and governance activities.

Agenda highlights

• LGD under IFRS 9 – Key Challenges and Industry Practice: Role of LGD within ECL frameworks, Common implementation challenges, Regulatory expectations and observations
• Recovery Data and Recovery Modelling: Recovery cash flow modelling, Workout LGD approaches, Recovery timing and discounting considerations, Data quality challenges
• Advanced LGD Methodologies: Segment-specific LGD approaches, Collateralised versus unsecured exposures, Portfolio-specific modelling considerations, Hybrid and alternative methodologies
• Forward-Looking LGD and Macroeconomic Effects: Economic cycle impacts, Forward-looking adjustments, Scenario-based LGD estimation, Practical implementation considerations
• Low-Default and Low-Recovery Portfolios: Proxy approaches, Expert judgement frameworks, Data scarcity challenges
• LGD Validation and Monitoring: Calibration testing, Back-testing and benchmarking, Validation frameworks, Ongoing performance monitoring
• Case Studies and Practitioner Workshop: Retail portfolio case study, Corporate portfolio case study, Validation challenge exercise, Overlay and expert judgement discussions

Training formula

Practical takeaways:

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

• Assess advanced LGD modelling methodologies and their suitability for different portfolios.
• Identify key data, recovery and calibration challenges affecting LGD estimates.
• Evaluate forward-looking adjustments and macroeconomic impacts on LGD.
• Challenge modelling assumptions and understand common sources of model risk.
• Apply good practices for LGD validation, monitoring and governance.
• Improve the robustness and regulatory readiness of LGD modelling frameworks.

Participants will gain practical expertise that can be immediately applied to:

• LGD model development projects
• IFRS 9 model enhancement initiatives
• Independent model validation activities
• Recovery and collections analytics
• Regulatory examinations and audits
• Model governance and performance monitoring
• ECL framework optimisation programmes

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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