The 9th Annual Banking Credit Risk Management Summit gathers decision makers, professionals and leading experts from the banking industry involved in Credit Risk

Dr. Volker Weis

Dr. Volker Weis Deutsche Bank

Head of Capital Models


Stress Testing at DB – The challenge between efficiency and granularity

Credit risk stress test is a key component for each firm-wide stress test concept and usually a significant driver of a bank`s overall stress impact under a macroeconomic downturn scenario. In this contribution we present our current approach on how to derive stressed default probabilities, discuss alternatives along with their pro’s and con`s.

  • Group level versus Portfolio level stress
  • Factor model vs Regression model

Ultimate Session


Every morning starts with a great ice-breaking activity – Speed Networking Session. This session is designed to give all participants the opportunity to meet and introduce themselves to their fellow participants before the official conference starts.
Don’t forget your business cards!

Provided Networking Sessions include Coffee Breaks, Networking Lunches, a Cocktail Reception, plus informal gatherings outside conference hours – key tools for establishing future business connections with fellow industry peers.

What delegates had to say

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Credit Risk Rating System Validation – New Challenges in the SSM Framework

The presentation focuses on the evolution of Rating System Validation in light of the changes of regulatory requirements (new EBA standards and benchmarking, SSM rules of engagements, model risk interpretation, etc.). This speech will also report some examples of validation challenges in the assessment of Low Default Portfolio rating systems.

  • The effect of SSM and new EBA Standards for the rating system validation practices
  • From Model Validation to Rating System Validation
  • Interpretation of “Model Risk”
  • Challenges in the assessment of Low Default Portfolio rating systems
Vincenzo Molè

Vincenzo Molè UniCredit Italy

Head of Group Wide Credit Risk & IT Architecture Validation

Sample of


Maxim Eremenko

Maxim Eremenko Sberbank

Managing Director

Antoine Bezat<br>

Antoine Bezat
BNP Paribas

Head of Credit Risk Stress Testing

Zoltan Varga

Zoltan Varga UniCredit Bank Austria

CRO Risk Management, CEE Credit Operations

Frank Hunziker

Frank Hunziker UBS

Director, Credit Risk, Rating and Derivatives Analyst

Anna Cornaglia

Anna Cornaglia Intesa Sanpaolo

Head of Economic Capital Methodologies

Dr. Volker Weis

Dr. Volker Weis Deutsche Bank

Head of Capital Models

Another Interesting Case Study from the Agenda

Hanna Sarraf<br>

Hanna Sarraf
Bank of Ireland

Head of Risk Strategy


Changing regulatory environment for credit risk models

Regulatory requirements are expanding in scope and granularity of risks to be considered for calculating minimum capital requirements for banks. This presentation will explore the latest trends in regulatory developments impacting credit risk modelling and RWA calculations. It explores how banks can adapt and turn regulatory constraints into opportunities to inform better decision making at strategic and operational levels.

  • Current developments and challenges ahead in credit risk models
  • Growth in a constrained world: The balance sheet optimisation challenge
  • Adapting to an increased level of capital requirements: Pillar 1, Pillar 2 and the Buffers
  • Revisiting Capital Allocation: Integrating Regulatory & Economic Capital with a framework that delivers results
  • Using risk adjusted profitability measures to allocate capital and support key decision making processes

Who will I


Members of Board, Vice Presidents, Directors, Heads and Senior Managers from the Banking industry involved in:

  • Credit Risk Management
  • Credit Risk Control
  • Stress Testing
  • Risk Strategy
  • Counterparty Risk
  • Credit Portfolio Management
  • Risk Analytics
  • Risk Measurement
  • Retail Credit Risk Strategy
  • Risk Reporting

What differentiates this conference from the rest?

Tired of attending expos, conferences or events where there is little to no interaction or debate with speakers & delegates?

Allan Lloyds events are famed for being highly interactive. Through our special discussion panels and roundtable discussion formats you will be able to discuss in intimate detail all of the complex issues that you are facing with our speakers and delegates.

Attendees of our events are leaders in their respective companies – meaning you will be able to enjoy indepth discussion with peers!

This is where the real learning & development happens



2 – 4 February 2016 I VIENNA

Imperial Riding School Renaissance Vienna Hotel

The 9th Annual Banking Credit Risk Management Summit will take place in Imperial Riding School Renaissance Vienna Hotel, Ungargasse 60, 1030 Vienna, Austria.

Things to do in Vienna:

  • No visit to Vienna is complete without a visit of this magnificent palace – Schoenbrunn Palace. The gardens are a must.
  • Did you know Vienna also has a Walk of Fame? Instead of containing celebrities like in LA, this walk of fame is full of composers who had some sort of connection with Vienna.
  • Visit massive cathedral is the true centerpiece of Vienna – St. Stephen’s Cathedral


Workshop A

Effective Risk Appetite Framework
2 February 2016 (15:00 – 16:00)

  • Risk appetite setting
  • What are the challenges in defining risk appetite?
  • New risk methods and risk appetite statements?
  • Integrating risk and operational/credit risk appetite into your decision-making



Workshop B

Trends and Challenges in Risk Management
2 February 2016 (16:00 – 17:00)

  • How to effectively perform risk management under current market conditions?
  • Linking capital planning to macroeconomic scenarios
  • Are you compliant? – The major factors which contribute towards a successful compliance policy
  • Innovation in data protection technologies

Request Agenda


Drop your details in the form and we will send you the whole 12-page brochure and a member of our team will contact you with all details regarding our  9th Annual Banking Credit Risk Management Summit.

Just let us know who to send it to and our team will get it to you right away:

  • See what keynote speakers will be taking part in the exclusive speaking panel
  • Explore what Case Studies will be discussed by our senior corporate speakers
  • Get the minute by minute breakdown of the conference

Leave us your details and we will take care of the rest!


  • Very interactive event with high profile participants

  • Well run, focused, engaging and interactive event

    BNP Paribas
  • Well balanced speakers



Would you like to be a part of the
9th Annual Banking Credit Risk Management Summit? 

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Don’t miss out!

All prices are 20% Austrian VAT included. You’ll receive a confirmation and you can edit the attendee details after the purchase. Payment methods are Credit Card and Bank Transfer.


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