IFRS-9 EXPECTED LOSS PROVISIONING USING EXCEL

Description

Section 1 – Introduction to IFRS 9 Framework – Understanding concepts of Staging & 12 Months/Lifetime ECL Calculation
Section 2 – Impairment Models – Simplified Approach & Generalised approach
Section 3 – Data Preparation & Data Quality Checks
Section 4 – Model Development – Roll rate analysis under Simplified approach & Transition Matrix approach under Generalised approach
Section 5 – Incorporating Forward Looking Information – Converting TTC PD to PIT PD
Section 6 – Modelling LGD & EAD & Calculating ECL
Section 7 – Model Validation – Calculate the Percentage of Error in the prediction using measures like Mean Absolute Error, Mean Absolute Percentage Error etc.