What are EAD, LGD and PD and how are they quantified
What are the areas where management judgement is required and how could that be applied with being ad hoc
How are corporate loan ECLs measured
How are revolving loans ECL measured
Impact of macroeconomic factors on ECL
Impact of sectoral factors on the ECL
Impact of specific factors linked to heterogeneity of loans on the ECL
Practical caselets will be provided on which participants can work out the ECL based on loan performance
Differences between NPA measurement as per current practice will be demonstrated with the ECL framework
Participants will be encouraged to participate in workshop mode so that the understanding of ECL is disseminated at a practical level
Target audience
Senior management (BFSI segment) who are ultimately responsible for the ECL numbers that are reported in the financial statements
Accounting professionals who are expected to quantify ECL
Risk management professionals who are expected to closely work with accounting numbers in the new framework
Audit and compliance professionals who are required to verify whether these ECL numbers are true and fair
Equity and debt analysts whose clients may be BFSI players - to understand the impact on their financials and hence their borrowing capacity
Course Structure
Duration: 1 Day
Session 1
Background and computational introduction to ECL
EAD – determination
Session 2
Working on Caselet
Determination of PD
Session 3
Working on Caselet
Determination of LGD
Determination of ECL
Session 4
Corporate ECL
Credit rating and LGD
Basel norms
Macroeconomic factors
Sectoral factors
Management Judgement in the determination of ECL
Trainer Profile
He is a financial consultant and a rank holder Chartered Accountant. He is associated as Adjunct Faculty with S P Jain Institute of Management & Research, which ranks among India’s top ten business schools. His areas of work are Ind AS Implementation, fair valuation of derivatives in the course of Ind AS implementation (including valuation of convertible bonds, convertible preference shares, cross currency swaps, principal only swaps, interest rate swaps, exotic financial products, futures, forwards, options and complex embedded derivatives). He also provides intensive advice on hedging, hedge accounting, hedge effectiveness testing and documentation. He is a regular trainer in the areas of Ind AS, IFRS, US GAAP, derivative trading, derivatives accounting and hedge accounting and has trained more than 300,000 participants over the last 20 years.
