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13TH ANNUAL BANKING CREDIT RISK MANAGEMENT SUMMIT

11 – 13 FEBRUARY 2020 | VIENNA
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PAST SPEAKERS

SEE THE PREVIOUS SPEAKERS & CASE STUDIES

Eriks
PLATO

Director of Credit Validation

David
CURTIS

Chief Credit Officer

Gerald
WUNDERER

Head of Credit Risk Models

Rolf
DUERR

Head of Counterparty Rating Modelling

Ralf
ZEITLBERGER

Head of Group Corporate Workout

Florian
KINAST

Head of Integrated Risk Management

CONFERENCE TOPICS 2020

LOOK AT THE TOPICS THAT WERE DISCUSSED

  • What are the future trends for data analytics and risk management?
  • What are the regulations focusing on regarding the latest Basel III finalisation changes?
  • Leading innovations in digitisation in the credit risk
  • The main challenges in stress testing
  • What are the necessary skills for organisational setup of NPL management?
  • Transitioning LIBOR to an alternative reference rate
  • What are the challenges and issues that IFRS 9 have brought to credit risk management?
  • How to set and develop the risk appetite framework properly?

DESIGNED FOR

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

  • Credit Risk
  • Credit Risk Control
  • Credit Risk Models
  • Credit Risk Analysis
  • Credit Risk Systems
  • Credit Risk Review
  • Credit Risk Monitoring
  • Credit Risk Management
  • Counterparty Credit Risk Methodology
  • Risk Appetite Framework and Model
  • Risk Validation
  • Capital Management
  • Stress testing
  • Portfolio Models, Management
  • Regulatory Strategy
  • IFRS 9 Regulations
  • AIRB Modelling

CASE STUDIES

PAST CASE STUDIES INCLUDE

CASE STUDY / DAY 1

Digitalisation in Credit Risk

Banks manage and protect highly sensitive customer data. With PSD II underlying assumptions and rules change significantly. In Risk Management, new data analytics and processing methods are identified and used in UniCredit Bank Austria to further improve our advisory and risk-pricing capabilities.

  • The impact of Big Data and Machine Learning
  • Future trends for data analytics and risk management
  • Case Studies from UniCredit Bank Austria

Gerald
WUNDERER

Head of Credit Risk Models

David
CURTIS

Chief Credit Officer

CASE STUDY / DAY 1

Stress Testing Challenges & IFRS9

A case study looking at the challenges of Stress Testing both in overview and how IFRS9 has brought its own requirements to bear on stress testing. The framework adopted by the Bank to address stress testing using IFRS9 to illustrate validation challenges & Key IFRS9 regulatory expectations.

  • Stress Testing Challenges
  • Bank framework or Approach
  • Lessons learnt
  • Caution on outputs/outcomes
  • Validation challenges
  • Regulatory focus

CASE STUDY / DAY 2

Addressing Cyclicality of IRB Probability of Default (PD) Models to Meet Regulatory Expectations

This session focuses on the identification, measurement and management of cyclicality in IRB rating systems from a practitioner’s perspective.

  • What is rating model cyclicality, why is it a problem?
  • Sources of cyclicality in rating systems – Why not build through-the-cycle?
  • Addressing cyclicality in rating systems – Leavers and perspectives to achieve compliance
  • Portfolio quality vs. cyclicality – How to differentiate drivers
  • TTC vs. PiT – Using multiple PD estimates within a bank

Rolf
DUERR

Head of Counterparty Rating Modelling

Florian
KINAST

Head of Integrated Risk Management

CASE STUDY / DAY 2

Integrated Stress Testing

Stress Testing is not only becoming more and more crucial technique in order to comply with regulatory requirements but also lifting bank steering and decision making to the next level. Stress Testing is an integral part of the day-to-day bank steering, the ICAAP and the Recovery Plan cumulating in annual EBA/ECB stress testing exercises – incl. focus topics like IRRBB and Liquidity as well as the comprehensive bi-annual integrated stress test. This presentation gives a general overview on the different applications of stress testing, its integration into bank steering and an outlook on the increasing importance of stress testing to the banking industry.

  • Stress testing within the regulatory framework
  • Integrated stress testing
  • Reverse stress testing
  • Integration of stress testing into bank steering
  • From stress testing to predictive simulation

WORKSHOP

11 February 2020 I 15.00 – 16.00

Risk Culture & Risk Appetite

  • Why has the risk culture topic gone quiet and what happened to risk culture when we are in the lower risk environment?
  • Are you keeping the risk culture as you wanted in your organisation?
  • What challenges are banks facing in evaluating credit risk appetite portfolio in current market environment?
  • Risk appetite and risk optimisation

Workshop
11 February
2020 I 16.00 – 17.00

New Regulatory Environment

  • Updates on EU legislation and the effect on credit risk management
  • Are Basel regulatory standards going to impact on banks?
  • What is the change that will happen in the analytical requirements and modelling norms?
  • EBA´s new guidelines on technical standards

SPONSOR 2020

A SPECIAL THANK YOU TO OUR SPONSORS

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