What is Expected Credit Loss (ECL) modelling under IFRS 9?

Expected Credit Loss modelling is the forward-looking impairment approach IFRS 9 introduced to replace the incurred loss model. Instead of waiting for a loss event, entities estimate the credit losses they expect over the life of financial assets — typically combining the probability of default (PD), loss given default (LGD) and exposure at default (EAD), weighted across multiple forward-looking macroeconomic scenarios. ECL applies to loans, debt securities, trade receivables, lease receivables, financial guarantees and loan commitments.

What is Significant Increase in Credit Risk (SICR) and why does it matter?

SICR is the trigger that moves a financial asset from Stage 1 (12-month ECL) to Stage 2 (lifetime ECL) under IFRS 9. Assessing SICR requires comparing the risk of default at the reporting date with the risk at initial recognition, using quantitative thresholds, qualitative indicators and backstops such as 30 days past due. Because staging drives the size of the impairment allowance, SICR calibration is one of the most judgemental and scrutinised areas of ECL modelling — and a core focus of the workshop.

How are PD, LGD and EAD estimated in an ECL model?

Probability of default is typically derived from internal rating models, historical default data or external ratings, adjusted to a point-in-time, forward-looking basis. Loss given default reflects expected recoveries, collateral values and cure rates. Exposure at default projects the outstanding balance at default, including undrawn commitments through credit conversion factors. The workshop compares estimation techniques for each component, their data requirements, and how they are combined and discounted into the final ECL figure.

How should macroeconomic scenarios and overlays be used in ECL models?

IFRS 9 requires ECL to reflect an unbiased, probability-weighted range of forward-looking macroeconomic scenarios rather than a single forecast. In practice this involves selecting and weighting base, upside and downside scenarios, linking macroeconomic variables to credit risk parameters, and — where models cannot fully capture emerging risks such as inflation shocks, energy price volatility or climate risk — applying disciplined post-model adjustments and management overlays with clear governance and documentation. The workshop covers refining overlays and aligning them with regulator and auditor expectations.

Does the workshop cover ECL for public sector entities under IPSAS 41?

Yes. IPSAS 41 brings an expected credit loss impairment model to public sector entities, mirroring IFRS 9's approach. The workshop addresses ECL application for public sector loans, receivables and guarantees, making it relevant for governments, supranational organisations and public financial institutions as well as banks and corporates.

Who should attend and where does the ECL modelling workshop run?

The workshop is designed for credit risk modellers, finance and impairment teams, financial controllers, internal and external auditors, model validators, regulators and treasury professionals at banks, insurers, corporates and public sector entities. It runs as a 2-day programme in London, Zurich, Brussels, New York, Miami, Toronto, Bermuda, Sao Paulo, Rio de Janeiro, Lima, Dubai, Doha, Singapore, Hong Kong, Seoul, Sydney and Cape Town, with an online edition available globally, in-house delivery worldwide, and a 15% group discount for five or more participants. CPD/CPE certified.

IFRS 9 Impairment Workshop | ECL Modelling PD LGD EAD SICR | Model Recalibration | CPD Accredited | Shasat

Professional Training Courses

IFRS 9 Impairment (ECL) Workshop (2 Days)

In Person
In House
Online

CPD/CPE Certified
Real-World Application
International Expertise

IFRS 9 ECL Modelling | PD LGD EAD | SICR | Macro Overlays | Model Validation | PIR Findings

This IFRS 9 Impairment Workshop provides advanced, practical training in Expected Credit Loss modelling under IFRS 9. The programme examines widely used PD, LGD and EAD approaches, SICR assessment, staging, forward-looking information and macroeconomic scenarios. It is designed for professionals seeking to strengthen the accuracy, consistency, governance and explainability of their ECL frameworks.

IFRS 9 introduced a forward-looking impairment model requiring earlier recognition of expected credit losses than the previous IAS 39 incurred-loss approach. Participants examine how inflation, interest rates, economic growth, commodity prices, geopolitical developments and other relevant factors can affect credit-risk assumptions. The programme also considers management overlays, model monitoring, validation and recalibration, including climate-related risks where relevant to credit risk and ECL measurement.

Through practical modelling examples, participants compare ECL methodologies, assess Significant Increase in Credit Risk (SICR), refine macroeconomic scenarios and challenge key modelling assumptions. The course also considers findings from the IASB’s completed Post-implementation Review of IFRS 9 Impairment, which concluded that the requirements are working as intended while identifying targeted areas for further clarification and disclosure improvement.