Agenda

Agenda

Credit Risk Modelling Masterclass - Agenda

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Live virtual course | Below agenda timing is in BST

Respective time in HKT:

Start: 8.30am BST | 3.30pm HKT
Break: 9.30am BST | 4.30pm HKT
End: 10.45am BST | 5.45pm HKT

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08:3009:30

Model risk management and governance for credit risk

02:00 - 03:00

  • Regulatory compliance

    • TRIM guidelines

    • IFRS 9

  • Model governance framework 

    • Roles across the three lines of defence for model risk

    • Model risk governance across the model lifecycle

  • Corporate

  • Retail

  • Long exposures

Catarina Souza

Senior expert model risk management

ING

09:3009:45

Break

15:00 - 15:15

09:4510:45

Credit risk model validation

15:15 - 16:15

  • Model validation framework

  • Building and maintaining a framework to validate credit risk portfolio models

  • Macroeconomic variable choices

  • Vendor models

  • Future considerations

Catarina Souza

Senior expert model risk management

ING

08:3009:30

Stress testing credit risk portfolios

14:00 - 15:00

  • General principles of forecasting models and model design

    • Types of scenarios

    • Scenario severity

    • Scenario stress selection

  • Regulatory expectations

  • Utilising past data 

  • Credit risk losses in a recession

  • Use in income stress testing

09:3009:45

Break

15:00 - 15:15

09:4510:45

Credit risk modelling post IFRS9

15:15 - 16:15

  • Effect of strengthening Basel regulations on credit risk modelling

  • Example rating systems based on default data

  • Modelling for low default portfolios

  • Modelling macroeconomic drivers for IFRS 9

  • Estimating rating migration matrices

  • Connecting credit risk portfolio and LGD modelling

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.

 

08:3009:30

Covid-19 impact on credit risk modelling

14:00 - 15:00

  • Impact on bank’s portfolios

  • Managing model performance under stress

  • Technical default 

  • Design limits based on historical data

Steven Claxton

Head of Risk − ASEAN

SAS

18 years’ of financial institution (banking & insurance) experience accumulated across the ASPAC region (Australia, Singapore, Hong Kong, Malaysia, Thailand, Indonesia, Philippines) both in an ‘in-house’ and consultant (KPMG Advisory) capacity. Qualified actuary (AIAA) (Member of Banking Practice Committee – Actuaries Institute) and B.Sc (Applied & Computational Mathematics).

Primary areas of practice & expertise:

- Credit risk measurement & management: stress testing, AIRB (across sovereign, FI, corporate, and retail), specialised lending, securitisation, economic capital, IFRS 9, scorecarding (application, behavioural & collection) 

- Operational risk measurement & management: data modelling, scenario analysis, 

- Balance sheet/behavioural modelling: deposit attrition modelling & prepayment/pre-settlement modelling 

- Portfolio stress testing & economic capital modelling

- Internal capital/liquidity adequacy assessment process (ICAAP/ILAAP)

An active user of SAS since approximately June 2001 (version 8.2) covering base & macro/IML/ETS/STAT/OR/EM and have applied the product across a variety of applications, to list a few:

-          Fair valuation of exotic derivatives (executive share options (ESO’s))

-          Default & pre-settlement contingency models (IFRS 9)

-          Quantification of economic capital (credit & operational risk)

-          Frequency & severity models for short-tailed insurance products (insurance risk)

Sample clients: Westpac, DBS, Maybank, Kasikorn, Bank Mandiri, PNB, Asian Development Bank (ADB)

09:3009:45

Break

15:00 - 15:15

09:4510:45

Developments for credit risk modelling

15:15 - 16:15

  • Adjusting for the new normal

  • Realistic and worst-case scenarios

  • New modelling approaches

  • How to interpret the changes to frameworks

  • Policy updates in credit risk models and capital release

08:3009:30

Application of AI/ML in credit risk modelling

14:00 - 15:00

  • Utilising smaller data sets due to sparse data

  • Guidelines on building trustworthy AI 

  • Defining bias

  • Regulatory requirements vs. explainability of ML

  • Application of AI for credit risk modelling

    • Automation

    • Increasing analytical value 

    • Improving model accuracy and efficiency 

09:3009:45

Break

15:00 - 15:15

09:4510:45

Integrating climate risk and credit risk

15:15 - 16:15

  • Emerging climate risk policies effect on credit risk

  • Including climate risk in your credit risk assessment 

  • ESG factor considerations

  • Impact on counterparties

  • Moving towards a greener economy

Peter Plochan

EMEA principal risk specialist

SAS

Peter Plochan is the EMEA Principal Risk Management Advisor at SAS who helps financial institutions to deal with their challenges around finance and risk regulations, enterprise risk management, risk governance, forward looking risk analysis, stress testing, model risk management, risk modelling and climate change risk management. 

Peter has a finance background (Master’s degree in Banking) and is certified Financial Risk Manager (FRM) with 14 years of experience in risk management in financial sector. He has assisted various banking and insurance institutions with large-scale risk management implementations while working both internally and also externally as a risk management advisor (PwC). Since joining SAS in 2014, Peter serves as a global acting domain expert - leveraging the latest trends in risk analytics & technology with his deep risk management & finance expertise. 

Peter also acts as the Risk Management trainer for PRMIA (Professional Risk Management International Association) where he developed and delivers training on Model Risk Management and ERM & Stress Testing for the global risk community. Peter regularly speaks & presents at risk events/webinar and publishes risk management thought leadership materials.