IFRS 9 Expected Credit Loss Risk Modelling Training Course

Course overview

IFRS 9 expected credit loss (ECL) models must do more than produce an impairment number. Finance, risk and credit teams need to demonstrate that staging decisions are supportable, probability of default (PD), loss given default (LGD) and exposure at default (EAD) assumptions are evidence-based, forward-looking scenarios are appropriately weighted, and post-model adjustments are governed. Weaknesses in these areas can lead to audit challenge, inconsistent portfolio treatment, volatile provisions and poor management insight into emerging credit deterioration.

This five-day course develops the practical modelling and governance skills required to build, challenge and explain an IFRS 9 ECL framework. Participants work through the three-stage impairment model, significant increase in credit risk (SICR) assessment, 12-month and lifetime ECL measurement, PD/LGD/EAD estimation, macroeconomic overlays, scenario weighting, discounting and model validation. The course also addresses data architecture, segmentation, back-testing, management overlays, disclosures and the controls needed to maintain a defensible model through changing economic conditions.

Teaching combines instructor-led technical sessions with spreadsheet-based modelling exercises, credit portfolio case studies and structured model-review workshops. Participants build an ECL calculation pack for a sample lending portfolio, including staging rules, calibrated risk parameters, scenario-weighted provisions, sensitivity analysis and a model-governance action log. They leave with reusable calculation templates, validation checklists and a documented framework they can adapt to their institution's products, data and approval process.

The programme is designed for professionals working with bank, lender, leasing, trade receivables or intercompany-loan impairment models. It is particularly valuable where teams must translate regulatory and accounting requirements into operational model design and clear reporting for finance leadership, auditors, risk committees and regulators.

Course objectives

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

• Interpret IFRS 9 impairment requirements to distinguish 12-month ECL, lifetime ECL and credit-impaired asset measurement
• Design SICR staging criteria using quantitative backstops, qualitative indicators and days-past-due evidence
• Construct PD, LGD and EAD inputs for a segmented credit portfolio using historical default and recovery data
• Calculate scenario-weighted lifetime ECL using probability-weighted macroeconomic forecasts and effective-interest-rate discounting
• Build an Excel-based ECL calculation model with auditable assumptions, data controls and reconciliation checks
• Validate ECL model performance through back-testing, calibration testing, benchmarking and sensitivity analysis
• Document management overlays and post-model adjustments with governance triggers, evidence and approval controls
• Prepare an IFRS 9 model pack containing methodology notes, results, disclosures support and model-risk actions

Benefits of attending

Target competencies

Who should attend

• IFRS 9 Modelling Analysts — who build, maintain or enhance expected credit loss calculation models
• Credit Risk Managers — who set staging policy and challenge PD, LGD, EAD and scenario assumptions
• Financial Reporting Managers — who own impairment balances, close processes and IFRS 7 disclosure inputs
• Model Risk and Validation Specialists — who review model design, performance testing and governance evidence
• Internal Auditors — who assess whether ECL methodology, controls and overlays are defensible
• Portfolio Risk Analysts — who monitor credit deterioration and translate portfolio trends into provision impacts

Requirements and prerequisites

Participants should already understand financial statements, lending or receivables portfolios, and core credit-risk terms such as default, delinquency, collateral and recovery. Experience with IFRS reporting, credit analysis, risk analytics, finance control or portfolio monitoring is expected. Attendees should be comfortable working with Excel formulas, pivot tables and basic data tables; they will use these skills in modelling exercises. Prior exposure to IFRS 9, statistical programming, econometrics or specialist credit-risk software is helpful but not required. The course explains modelling logic and calculations without assuming that participants can build regression models from scratch.

Training methodology

The instructor uses short technical briefings to establish each IFRS 9 requirement, then moves participants into structured calculation and challenge exercises. Working from a realistic portfolio data set, participants segment exposures, apply SICR rules, estimate PD/LGD/EAD inputs, calculate discounted scenario-weighted ECL and investigate provision movements. Case discussions examine weak staging evidence, unsupported overlays and validation failures. Small groups act as model owners and reviewers, presenting decisions to a simulated impairment committee. The final session converts learning into an application plan for participants' own portfolios, controls and reporting calendar.

Course outline

Day 1: IFRS 9 impairment architecture and staging

• Scope of IFRS 9 impairment for loans, commitments, guarantees and trade receivables
• Three-stage impairment model and credit-impaired financial assets
• 12-month ECL versus lifetime ECL measurement horizons
• Significant increase in credit risk assessment principles
• Days-past-due rebuttable presumptions and low-credit-risk expedient
• Portfolio segmentation by product, borrower type, geography and risk characteristics
• Data lineage from source systems to impairment reporting

Workshop: Participants map a sample lending portfolio into IFRS 9 segments and produce a documented Stage 1, Stage 2 and Stage 3 decision tree.

Day 2: PD, LGD and EAD model construction

• Default definitions, cure rules and observation-period design
• Through-the-cycle and point-in-time probability of default estimation
• Lifetime PD term structures and marginal default rates
• LGD estimation using recoveries, collateral, costs and time-to-recovery
• EAD estimation for amortising loans, revolving facilities and undrawn commitments
• Credit conversion factors and contractual versus behavioural cash flows
• Parameter calibration, floors and expert judgement controls

Workshop: Participants calculate PD, LGD and EAD parameters for three portfolio segments and create an assumption register showing source data and rationale.

Day 3: Forward-looking ECL measurement

• Effective interest rate discounting and expected cash shortfalls
• Scenario design using baseline, upside and downside macroeconomic paths
• Probability weighting of macroeconomic scenarios
• Satellite models linking economic variables to default and loss rates
• Lifetime ECL calculation mechanics and cash-flow timing
• Treatment of multiple economic forecasts and non-linearity
• Sensitivity analysis for key ECL drivers

Workshop: Participants build a scenario-weighted lifetime ECL calculation in Excel and produce a sensitivity table for unemployment, house prices and scenario weights.

Day 4: Validation, controls and model governance

• Model inventory, materiality assessment and ownership roles
• Back-testing predicted defaults against realised defaults
• Discriminatory power, calibration and stability testing
• Benchmarking PD, LGD and EAD against external and internal evidence
• Data-quality controls, reconciliations and change-management records
• Management overlays and post-model adjustment governance
• Independent model review findings and remediation tracking

Workshop: Participants conduct a model-validation review of a flawed ECL pack and produce a prioritized findings log with tests, evidence gaps and remediation actions.

Day 5: Reporting, disclosures and implementation planning

• Explaining period-on-period impairment movements
• IFRS 7 credit-risk and ECL disclosure requirements
• Staging migration analysis and credit-quality reporting
• Model output reconciliation to the general ledger and financial statements
• Impairment committee papers and challenge documentation
• Audit-ready methodology documentation and evidence retention
• Implementation roadmap for model enhancement and reporting cycles

Workshop: Participants assemble and present an IFRS 9 ECL model pack containing results, movement analysis, overlay justification, validation evidence and a 90-day implementation plan.

Tools & standards covered

IFRS 9 Financial Instruments, IFRS 7 Financial Instruments: Disclosures, Microsoft Excel, Python

A typical training day

Live online deliveries follow the same structure in the East Africa Time zone, with shorter screen blocks and longer breaks.

What the fee includes

How you can take this course

Certification

Participants who complete the full five days receive the Skillset Development Certificate of Completion, stating the course title, course code, dates and delivery format — suitable for professional-development records and employer reimbursement.

Frequently asked questions