Business Breakfast: IFRS 9: calculation of expected loan loss in practice
On March 15, 2018 Mazars organized joint event with ACCA on IFRS 9.
Key topics covered during business breakfast:
- Classification and measurement of financial assets and liabilities: SPPI test, business model definition, changes in financial liabilities
- Impairment: the basic formula for calculating the expected credit loss (ECL), stratification, a significant increase in credit risk, the concept of default
- Determination of default probability (PiT PD): review of existing models, information needed for PD model (internal and external data), TTC finding, forecasting information finding, transformation into PiT;
- Macroeconomic indicators application in reserves calculation in accordance with IFRS 9, possible scenarios;
- Determination of loss given default (LGD): the ways of determination depending on the specifics of loan products;
- Determination of exposure at default (EAD).
Kristina Iftodii, Director, Audit Department (Bank, Insurance and Property), Mazars
Ali-Sultan Kirgizbaev, Senior Consultant, Mazars