Workshop 3 Preparing for CECL

Workshop 3 Preparing for CECL

Workshop 3: Preparing for CECL - November 7

8:30 Registration and breakfast

9:00 Current state of CECL implementation

  • Key interpretation considerations relating to the new standard
  • Highlights of progress made towards leveraging CCAR for CECL implementation
  • Remaining challenges: impact and unintended consequences
  • Challenges involved in the CECL production process

Stevan Maglic, Head of Quantitative Risk Analytics, REGIONS BANK

10:30 Morning coffee break

11:00 Preparing for CECL,  foundational approach for forward-looking expected credit losses

  • Challenges of implementation of CECL in terms of data, assumptions and methodology
  • Understanding forward looking loss estimation, its benefits and limitation
  • Analyzing the impact of credit cycles, financial crises and uncertainty on credit losses
  • Creating a model uncertainty framework for adjusting ECL estimates

Jorge R Sobehart, Managing Director, Quantitative Risk and Stress Testing (QRS), CITI

12:30 Lunch

1:30 Requirements for the CECL scenarios

  • What type of scenario(s) is required for CECL?
  • What is ‘reasonable’ and ‘supportable’ forecasting period?
  • How to forecast?
  • Periods after the reasonable and supportable period
  • Can CCAR processes be leveraged?
  • What will be the frequency of scenarios?
  • How many scenarios should be used?

Hakan Danis, Director of Stress Testing, UNION BANK

3:00 Afternoon coffee break

3:30 Implementation of CECL Scenario Design Process – an example

  • Governance around CECL Scenario Design process 
  • Working Groups Needed
  • Example for a CECL Scenario Design Process

Hakan Danis, Director of Stress Testing, UNION BANK