PSAK 71 Instrumen Keuangan (IFRS 9) mulai berlaku efektif mulai tanggal 1 Januari 2020. PSAK 71 memperkenalkan model penurunan nilai baru berdasarkan expected credit loss (ECL). Model ini berbeda dengan model sebelumnya yang mengacu pada PSAK 50/55 dimana model ECL mengharuskan dengan PSAK 71 perusahaan perlu mempertimbangkan semua informasi (masa lalu, saat ini dan masa depan) sehingga dapat diperoleh unbiased probability weighted ECL yang bersifat forward-looking. Workshop ini bertujuan agar peserta memahami pemodelan ECL dengan menggunakan berbagai model dari model yang paling sederhana seperti provision matrix approach sampai Vasicek, Cox proportional hazards, Markov chain dan juga teknik machine learning seperti Random Forest maupun Boosting baik untuk eksposur trade receivables, KPR, obligasi, corporate, SME maupun retail loan lainnya. Selain itu agar dapat lebih mempermudah pemahaman pemodelan tersebut juga dilengkapi dengan contoh kasus dalam berbagai segmen kredit menggunakan program statistika R dalam bentuk web app & mobile app.

Adapun topik bahasan meliputi:

Introduction to IFRS 9: IFRS 9 (PSAK 71), ECL, PD, LGD, EAD, IFRS 9 vs CECL, ECL & Capital Requirements

R Statistical Computing: Why R, Names, Values, Lists & Data Frames, Vectors & Matrix, Factors, Dates & Date-Times, Subsetting, Control flow, Functions, Environments & Conditions, R Markdown, Run Python code from R, Importing CSV, Excel, RDBMS (SQL-Server), Exploratory Data Analysis (EDA), Reporting & Other Unique Features

One-Year PD: Default Definition, Missing Data, Splitting the Dataset, Cross Validation, Generalized Linear Models (GLM), Univariate Analysis, IV, Multivariate Analysis, WOE, Step-wise Regression, GLM Calibration & Validation, Creating a Confusion Matrix, Gini, ROC, AUC, Cox Proportional Hazards, Point-In-Time vs Through-The-Cycle, One-Factor Gaussian Copula Vasicex Model, Random Forest & Boosting, Model Calibration & Validation, Low Default Portfolio & Scarce Data

Financial Markets: Over-the-Counter Markets, Money Markets, Bond Markets & FX Market, Derivatives Market, Forwards, Swaps, Options: Vanilla & Exotic Options, Credit Derivatives

Lifetime PD: PD Term Structure, Marginal PD & Hazard Rate (Forward PD), Provision Matrix Approach, Binomial Movement Approach, Markov Chain Approach, Basel Maturity Adjustment Approach, Lifetime GLM Framework, Portfolio-Level GLM Analysis, Account-Level GLM Analysis, Lifetime GLM Validation

LGD & EAD Modelling: LGD Regression Methods, Random Forest, and Boosting LGD, Scarce Data Low Default LGD, Full Prepayment Modelling, EAD Modelling, CCF Modelling

Scenario Analysis and ECL: Macroeconomic Variables, Monte Carlo Simulation, Cumulative Continuous Probability, Macroeconomic Scenarios, Finding The Best Regression, Discrete Probability, Forward-Looking PD, Forward-Looking ECL, Unbiased Probability-Weighted ECL, ECL Staging Allocation, Effective Interest Rates (EIR), EIR for Fixed Rates vs Floating Rates, Generating Discount Factor, One-Year ECL, Lifetime ECL

Cases: ECL for consumer loans, ECL for retail mortgage, ECL for credit card exposures, ECL for corporate & SME loans, ECL for marketable securities, ECL for other exposures