Finance, Treasury and Credit Risk

IFRS 9 ECL Modelling

Develop practical capabilities in expected credit loss modelling under IFRS 9.

3 daysUS$300 per delegate
Overview

What the programme covers

Build a working IFRS 9 expected credit loss engine from loan-level data. You work through staging, PD, LGD and EAD, scenario weighting and lifetime ECL. You finish with results that reconcile, sensitivities you understand and documentation ready for review.

Practical modelling with Python and AI-assisted development

Use AI tools, including Claude Code, to accelerate model development, testing and documentation.

Curriculum

What you will learn

01

IFRS 9 ECL foundations

Understand the core ECL framework

  • 12-month and lifetime ECL
  • PD, LGD and EAD
  • Staging and SICR
  • Forward-looking information
02

Data preparation and EDA

Prepare and understand loan-level data

  • Data profiling and quality checks
  • Missing values and outliers
  • Default analysis
  • Portfolio segmentation
03

PD modelling

Build an AI-assisted Probability of Default model

  • Default definition
  • Predictor selection
  • Feature engineering
  • Logistic regression
  • PD estimation and calibration
04

PD validation

Test whether the PD model performs as expected

  • AUC and Gini
  • KS statistic
  • Calibration
  • Model stability
  • Testing and reconciliation
05

LGD modelling

Develop Loss Given Default estimates

  • Recovery data
  • Workout LGD
  • Recovery timing and costs
  • Discounting
  • LGD validation
06

EAD modelling

Estimate Exposure at Default

  • Exposure definition
  • Utilisation analysis
  • Undrawn commitments
  • CCF estimation
  • EAD validation
07

Staging, macroeconomics and ECL

Bring the ECL components together

  • Stage allocation and SICR
  • Macroeconomic variables
  • Economic scenarios
  • Scenario weighting
  • Lifetime ECL
  • Portfolio ECL
08

ECL reconciliation and reporting

Turn model outputs into trusted results

  • ECL reconciliation
  • Calculation checks
  • Sensitivity analysis
  • Testing and reconciliation
  • ECL reporting and documentation
How you build it

The tools and the method

Claude Code, Codex and agentic AIBuild → Analyse → Model → Calculate → Report
The principle

Use AI to speed up the build.

Use testing and reconciliation to prove the numbers.

Use IFRS 9 expertise to make the judgement.

Who it is for

Built for these roles

  • Credit Risk Professionals
  • IFRS 9 Analysts
  • Risk Modellers
  • Finance Professionals
  • Banking Professionals
  • Data Analysts
What you leave with

You will have worked through a practical end-to-end AI-assisted IFRS 9 ECL modelling workflow, from data preparation through PD, LGD and EAD modelling, staging, ECL calculation, testing, reconciliation and reporting.

Programme details

The practical details

Duration3 days
DeliveryInstructor-led with live demonstrations and practical exercises
InvestmentUS$300 per delegate
Group bookings20% discount
PrerequisitesLaptop, working knowledge of credit risk and Excel
ToolsPython and AI-assisted development, including Claude Code
FacilitatorTafirei Mashamba, PhD
Next intakeAsk us for the next intake. We reply by email or WhatsApp.
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Related programmes

Need this built for your institution instead? See Credit Risk Modelling.

Ready to register?

Book your seat, or ask about training your whole team. Group bookings receive a 20% discount.