Agenda

Agenda

December Course Agenda

Agenda timing is in GMT
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Session one - 2pm GMT/ 9am EST
Session two - 3.15pm GMT/ 10.15am EST
End - 4.15pm GMT/ 11.15am EST
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14:0015:00

Best practice credit risk modelling

02:00 - 03:00

  • Rating systems based on default data
  • Low default portfolio modelling
  • IFRS9 modelling and rating transition matrices
  • LGD modelling
Ioannis Tsakanikas

Consultant

Morgan Stanley

Ioannis has extensive experience in development and validation of credit risk models, including IRB, IFRS9 and stress testing models. He has worked and consulted for major banking groups, like HSBC, Santander and currently Morgan Stanley. Ioannis holds a PhD in Mathematics and is a CFA and PRM charterholder.  

15:0015:15

Break

15:00 - 15:15

15:1516:15

Model risk management

14:00 - 15:00

  • Regulatory compliance
    • TRIM guidelines
    • IFRS 9/11
  • Model governance framework
    • Roles across the three lines of defence for model risk
    • Model risk governance across the model lifecycle
  • Corporate
  • Retail
  • Long exposures
Archana Gupta

Head of credit model risk

RBS

14:0015:00

Model validation and assurance

15:15 - 16:15

  • Model validation framework
  • Building and maintaining a framework to validate credit risk portfolio models
  • Macro-economic variable choices
  • Vendor models
  • Future considerations
Navin Rauniar

Partner & Director

PRMIA

Navin is an independent risk director with over 16 years’ experience in advising the sell side on front to back risk and regulatory matters. Navin also specialises in the delivery of Risk Methodologies, Models & Governance for Tier One and Tier Two investment banks; whilst spearheading the analysis for IBOR Transition, FRTB, IRRBB, Basel IV, CRR 2 and CRD V offerings. He most recently worked as a Senior Manager at a leading global advisory firm where he led the analysis of the impact of the LIBOR Transition on financial institutions. 

Prior to this, Navin spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, CRO and Operations. Navin is a member of the Professional Risk Managers Association and sits on the London Chapter Steering Committee. Navin supports the CRO community via mentoring of risk professionals and the organisation of risk, regulatory & leadership events. 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Stress testing credit risk portfolios

15:15 - 16:15

  • General principles of forecasting models and model design
    • Types of scenarios
    • Scenario severity
    • Scenario stress selection
  • Regulatory expectations
  • Credit risk losses in a recession
  • Reverse stress testing
  • Use in income stress testing
Louis Brown

Head of Credit Risk Modelling

Investec Bank

Louis Brown heads up the Credit Risk Modelling team for the Investec Bank PLC. His primary focus is the development of Credit Risk model for IFRS 9. Before joining Investec, Louis worked at Barclays in the model validation team and before this at RBS in a number of Credit Risk modelling and analytics roles. Louis holds an MSc in Machine Learning and a BSc in Physics with Computer Science.

 

15:1516:15

Climate risk and credit risk modelling

15:15 - 16:15

  • Climate risk in relation to credit risk modelling
  • Credit risk implications
  • Corporate sustainability
  • How to integrate climate change risk into current credit models
Peter Plochan

EMEA principal risk specialist

SAS

FRM certified Risk Management specialist with strong analytical mindset and finance background. By combining my 10+ years of Risk Management experience with SAS Analytical and Risk & Finance Solutions I am uniquely positioned to provide the leading financial institutions with valuable advice for addressing their Risk & Finance management challenges.

My main Finance & Risk Management competency areas include:
- Finance and Risk Management technology;
- Risk regulations ( Basels /CRDs, ICAAP, ILAAP, Solvency II, ORSA);
- Accounting standards: IFRS 9 ;
- Enterprise Risk Management;
- Model Risk Management;
- Financial Risk Management and Asset Liability Management;
- Risk data / analytics;
- Planning, Forecasting, Stress Testing, Scenario analysis and Capital management.
- Risk and Finance integration

I am passionate about helping companies to improve their existing risk and finance processes, providing advice, educating and driving business development in the areas above.

15:0015:15

Break

15:00 - 15:15

14:0015:00

AI and machine learning in credit risk modelling

14:00 - 15:00

  • Model applications
  • Using AI and machine learning to build credit risk models
  • Collaborative portfolios
  • Capturing changes in behaviour to incorporate in models
  • Credit risk digital decisioning perspective
Jesús Calderón

Managing director

Maclear Data Solutions

Jesús Calderón advises Canadian and international clients in the financial services and energy industries on the implementation of data-driven solutions for risk management in  banking, insurance, capital markets, and energy trading, as well as anti-money laundering and regulatory activities. Jesús has over twelve years of experience in risk management, internal audit, and fraud investigations, where he has specialized in the application of data science and machine learning methods to optimize risk control activities and examinations.

14:0015:00

Effects of COVID-19 on models

14:00 - 15:00

  • Uncertainty
    • Sources of uncertainty
  • Pandemic impact
  • Portfolio considerations
  • Model performance and other considerations
  • Limitations and future considerations
Naveen Nagarajan

Director

Capital One

Naveen Nagarajan, a Director at Capital One, is responsible for oversight of  all credit loss forecasts related to the commercial bank.  Naveen joined Capital One in 2011 and has since worked in various roles including Commercial portfolio risk analytics, credit underwriting and modeling of commercial portfolios, Counterparty credit risk of commercial capital markets and treasury, and quantitative research for asset management.

Prior to joining Capital One, Naveen worked in credit portfolio analytics at BNY Mellon. Naveen has a bachelor’s degree in Computer Science and Engineering from University of Madras, India, and a Master’s degree in Computational Finance from Carnegie Mellon’s Tepper School of Business. Naveen is also a CFA® charter holder.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Forward looking approach to credit risk modelling

15:15 - 16:15

  • Realistic and Worst-case Scenarios
  • New modelling approaches and how to interpret changes to frameworks
  • Government policy in credit risk models and capital releases
  • New definition of default changes
  • Global regulatory update
    • Basel IV- limits to the reduction in capital 
    • Prudential analysis treatments: monitoring triggers 
    • Regulation guidance on stimulus measures for IFRS9 
  • Appendix: changes in credit standards and expected default frequency in the corporate sector 
Maria Kostova

Credit risk specialist 

European Central Bank

Maria Kostova has over 16 years of experience in Regulatory Risk with specific focus on Expected Credit Loss Methodologies and Internal Ratings Based Approach Valuation techniques.

Her significant focus of expertise resides in Model Development, Validation, Risk Governance, Capital Allocation mechanisms and Financial Stability Frameworks across Pillar 2A and 2B types of risk- Credit, Market, Liquidity, Concentration, Interest Rate Risk in the Banking Book /IRRBB/ and Model Risk Management. During her career, she has been predominantly engaged in top tier Banking Groups in the United Kingdom, the Netherlands and Spain, allowing her to acquire a comprehensive IFRS9 and A-IRB Credit Risk Modelling expertise in PiT/TTC PD, LGD, EAD Development and excellent understanding of Internal Capital Adequacy requirements (ICAAP/ ILAAP) alongside Risk Weighted Asset adjustments, Liquidity Restructurings and Stress-testing techniques. She is specialized in Banking and Finance with strong emphasis on Statistics and Microeconomics in the United States, where this substantial exposure on logistic and linear regression methodologies in statistics for retail and corporate portfolios has been developed and practiced in accordance with Basel/ BIS/ ECB/EBA Regulatory Frameworks and the PRA Requirements in the UK.