15th Annual Banking Credit Risk Management Summit

2 - 3 February 2022 | Vienna

To ensure a sustained recovery from the pandemic has been the main objective of most bank institutions around the world. The crisis has revealed many industry flaws which have made banks rethink their current strategies and adjust to the new dynamics to get back to full growth.

The 15th Annual Banking Credit Risk Management Summit is a two-day business meeting which aims to bring up and exchange valuable thoughts on the ongoing topics from the credit risk field; providing an accurate vision of the counterparty credit risk, designing right stress testing scenarios, identifying consequences of the pandemic and , picturing the new regulations or reflecting on the artificial intelligence implementation are comprised in a rich programme full of experts from the leading banks on the market.

Hottest topics that will be discussed this annual

  • 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?

SUMMIT WILL HOST SPEAKERS FROM THE WORLD’S LEADING COMPANIES

Roland WASS

Chief Risk Officer

CASE STUDY DAY 1

Artificial Intelligence in the Corporate Underwriting

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

Alexander WITTE

Chief Risk Officer

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

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

Alexander SUBBOTIN

Head of Risk Models Methodology & IRB Models

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?

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.

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

We offer to world’s leading companies at our summit

Case Studies

Experience leaders will provide you with lessons learned.

Networking

The chance for market-leading business knowledge networking.

Discussions

All attendees will have a great opportunity to discuss a selection of topics in small groups with their peers.

New Ideas

We are partnering with experienced professionals to provide creative ideas, inspiration, and guidance.

Allan Lloyds Summit mission is to exceed expectations

We are committed to achieving new standards of excellence by providing conference formats that encourages interaction, networking and high class knowledge sharing. With experts, well-supported staff, motivated to deliver quality, Allan Lloyds vision is to be recognized as the global leader in providing high quality business conferences.

What we offer to world’s leading companies

  • Experience-based case studies
  • Round table discussions
  • Impeccable networking opportunities
  • Limited number of seats in the audience ensuring friendly atmosphere
  • No media or press presence

Sponsored by

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Event programme

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Inside you will find

  • What keynote speakers will be taking part in the exclusive speaking panel
  • What Case Studies will be discussed by our senior corporate speakers
  • The minute by minute breakdown of the conference