11th Annual Banking Credit Risk Management Summit

Stress Testing, Portfolio Modelling And Risk Appetite

This presentation will deal with the place of risk models and stress tests to support the development of credit risk frameworks and concentration analysis.

• Reviewing stress testing practices
• Regulatory stress tests Vs internal stress tests
• Role of models in stress testing
• Advantages and drawback of ST VS credit VAR models to analyze credit risk
• ST and models roles in defining a credit risk appetite

Risk Appetite Framework And Stress Testing Main Challenges

1. Main changes and enhancements in the Risk Appetie definition and the potential challenges going forward
2. Stress test framework, lesson learned from the past and main engancement for managerial and regulatory purposes
   • RAF and CRO role before the crisis
   • RAF used as a managerial tools for steering the business
   • New competitive and regulatory environment for the RAF development
   • Stress testing in the past: lesson learned during the crisis
   • Lesson learned from the last EBA Stress test and new challenges
   for the 2018 exercise

Big Data And Digitalisation In Credit Risk Management

The presentation introduces the digitilisation strategy of Commerzbank and an overview of relevant regulations. It will discuss the applicability of Big Data to different business fields in a universal bank with a focus on roadblocks and how to solve them.

• Digitilisation strategy
• Regulation ( data protection)
• Big Data
• Data Analysis as competitive advantage

The Impact Of Climate-Related Risks On Credit Risk

Global Warming has become a severe source of event-driven risk jeopardizing
our current way of living and doing business. The fight against
the Climate Change has also triggered a transformation process of the
global energy production away from the fossil energy sources towards
a renewable energy and a low-carbon economy. Both developments
result in a new dimension of credit risk for the lending and investment
industry, which needs to assess these risks and their potential financial
impacts and take the necessary steps to advance their business model
and investment portfolio.

• Magnitude of the transformation
• Climate-Related risks
• Potential commercial and financial impacts
• Opportunities and outlook