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Agenda
Agenda
Credit Risk Modelling - Agenda
14:00 – 15:00
Regulatory risk implications of credit risk models
- Introduction to credit risk models
- Objective, purpose, and utility of credit risk models
- Credit risk models and capital adequacy requirements- A-IRB approach (Basel II)
- Credit risk models and expected credit loss measurements- ECL provisions (IFRS9)
- Applicable models and risk-based pricing for low default portfolios
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, 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.
15:00 – 15:15
Break
15:15 – 16:15
Model Governance
- Regulatory expectations of model risk
- Model validation techniques (Basel III, IFRS9, CECL)
- Current model validation challenges
- Monitoring and reporting requirements
- Counterparty credit vs credit risk
- Forward looking trends
14:00 – 15:00
Best practices for credit risk modelling
- Effect of strengthening Basel regulations on credit risk modelling
- Example of rating systems based on default data and portfolios
- Modelling for low default portfolios
- Modelling macroeconomic drivers for IFRS9: probability weighted adjustments
- Estimating rating migration matrices
- Connecting credit risk portfolio and LGD modelling
15:00 – 15:15
Break
15:15 – 16:15
Stress testing credit risk portfolios
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General principles of forecasting models and model design
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Types of scenarios
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Scenario severity
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Scenario stress selection
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Regulatory expectations
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Utilising past data
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Credit risk losses in a downturn economic cycle
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Use in income stress testing
14:00 – 15:00
15:00 – 15:15
Break
15:15 – 16:15
ESG and impacts of climate on credit risk
- Emerging climate risk policies and their impact on credit risk
- Climate risk in your credit risk assessment
- ESG factor considerations
- Transition risk
- Building resilience
- Credit risk model amendments and their Impact on minimization of Model Risk
- Socio- economic implications and shifts towards a greener economy
14:00 – 15:00
AI/ML in credit risk modelling
- Forecasting techniques in AI/ML methodologies
- Regulatory requirements and model risk
- Challenges
- Modelling with imbalanced classes
- Model compound error
- Identifying biases
- Implications of model transparency and explainability
- Overcoming challenges
15:00 – 15:15
Break
15:15 – 16:15
Future of AI/ML in credit risk modelling
- Business model impact of COVID 19 – Procyclicality of models
- Algorithm’s optimisations in credit risk – decision tree neural networks
- Applying NLP in traditional model approaches
- Identifying problems in financial information
- Importance of transactional data
- Identify future happens
- Future characteristics