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).

SPEAKERS

Kristina Iftodii, Director, Audit Department (Bank, Insurance and Property), Mazars

Ali-Sultan Kirgizbaev, Senior Consultant, Mazars

 

Below you can find presentation from business breakfast in Russian.

Video record of the event is available here.

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