15th Annual Banking Credit Risk Management Summit

2 - 3 February 2022 | Vienna

PAST SPEAKERS

SEE THE PREVIOUS SPEAKERS & CASE STUDIES

Roland WASS

Chief Risk Officer

Didier M’TAMON

Head of Portfolio Models

Alejandro GISBERT

Head Analysis Country Risk and Financial Counterparty Risk

Alexander WITTE

Chief Risk Officer

Alexander SUBBOTIN

Head of Risk Models Methodology & IRB Models

CONFERENCE TOPICS 2022

LOOK AT THE TOPICS THAT WERE DISCUSSED

  • What are the new regulations in credit risk? Regulatory responses to the COVID-19 crisis
  • Key drivers of credit risk in the wake of the pandemic
  • How is technology changing and optimising credit risk?
  • Why is the role of Big Data in the banking sector increasing?
  • What have been the new and emerging challenges for counterparty credit risk in 2021?
  • What challenges has stress testing faced since the last year?
  • What can be expected from the risk function of 2025?
  • Sustainability risk indicators in credit risk management: Why integrate “sustainability” into financial decisions?

Designed for

Members of board, C-level, Senior/Global Vice Presidents, Directors, Heads of departments from banking industry involved in:

  • Credit Risk
  • Trading Credit Risk
  • Credit Risk Control
  • Credit Risk Models
  • Credit Risk Analytics
  • Credit Risk Systems
  • Credit Risk Review
  • Credit Risk Validation
  • Credit Risk Monitoring
  • Credit Risk Management
  • Counterparty Credit Risk Methodology
  • Risk Appetite Framework and Model
  • Capital Management
  • Stress Testing
  • Portfolio Models
  • Regulatory Strategy
  • IFRS 9 Regulation

Didier M’TAMON

Head of Portfolio Models

CASE STUDY / DAY 1

Anticipating the Fallen Angels

Anticipating the downgrade and, eventually, the default of a client is key to controlling a bank normal cost of risk. In addition to the traditional risk framework, some banks currently use a prediction model based on machine learning to address this challenge.

This presentation aims to give an overview of the current state-of-art of the early warning framework.

  • The key element is the Data
  • Few challenges to overcome
  • Model is good and by nature imperfect
  • Best practices to implement an early warning framework
CASE STUDY / DAY 1

IRB Repair Programmes – Healing or Killing? Focus on LGD Models

Among all models impacted by recent regulations and post-TRIM ‘IRB repair programmes’, LGD models stand out both by the materiality of impacts and by the degree of controversy in some of the requirements. The presentation goes through the main pain points, dwelling not only on capital impacts but also on consequences for the use of models in credit risk management. Finally, Basel IV expectations are discussed.

  • Why LGD models have been under fire from supervisors?
  • Are TRIM objectives achieved?
  • Realised LGD – Is it really realised and what does it actually represent?
  • Is conservatism of LGD models excessive?
  • What to expect going forward?

Alexander SUBBOTIN

Head of Risk Models Methodology & IRB Models

Alejandro GISBERT

Head Analysis Country Risk and Financial Counterparty Risk

CASE STUDY / DAY 2

Monte Carlo Stress Test for Rating Financial Counterparties

The quantitative fundamental method of ratios used to rate banks in a country do not give enough information to be translated into a probability of default, including some qualitative information murk the analysis, so you want to know how much the bank can absorb in terms of net losses before it defaults. You can complement your analysis by using Monte Carlo to perform stress tests.

  • How to design a reasonable stress testing for banks of a specific country?
  • Choosing probability functions depending on the variables to stress

Your objective is to be able to rate all the banks with or without an external rating for a specific country. Gaining sensibility to the probability of default of any bank by defining the credit profile using Monte Carlo.

CASE STUDY / DAY 2

Managing and Monitoring Credit Risk During the COVID-19 Pandemic

  • Initial concerns
  • Impact of the moratoria
  • Monitoring issues
  • Where is the wave of insolvencies?
  • The jury is still out

Alexander WITTE

Chief Risk Officer

Roland WASS

Chief Risk Officer

CASE STUDY / DAY 2

Artificial Intelligence in the Corporate Underwriting

How Raiffeisen Russia uses AI for non-retail (corporate) credit decisions.

Well worth attending. Good agenda and topics nicely put together, overall very informative on current trends in credit risk.

Chief Credit Officer at Permanent TBS

STAY UPDATED FOR THE 2022 EDITION

Provide Us With Your Contact Details and Our Team Will Get Back to You With All the Updates Regarding the Upcoming Edition of This Event.