Agenda

Agenda

Credit Risk Modelling - Agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Best practice credit risk modelling

09:00 - 10:30

  • 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
Chris Karastoyanov

Associate Vice President

Credit Suisse

Risk management professional with 7+ years experience in banking and financial services. Currently an Associate Vice President in the Credit Risk Analytics department at Credit Suisse, overlooking the Exposure & Collateral Modelling team. Started career in the Graduate Program at the London Stock Exchange. Experience in Stress Testing and Market risk at HSBC. Holding MSc in Finance degree from Warwick Business School and a Chartered Financial Analyst (CFA). Keynote speaker at the [email protected] Conference 2017 in Frankfurt on "Brexit impact on banking & risk management".

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

AI for credit risk modelling

09:00 - 10:30

  • Applications for machine learning
  • How machine learning can help banks rate credit risk
  • Using AI and machine learning to build credit risk models
  • Collaborative portfolios
  • Capturing changes in behaviour to incorporate in models
Sebastian Ptasznik

Principal

Parker Fitzgerald

Sebastian leads the Credit Risk Methodology team within firm’s Quantitative Advisory Services. He specialises in quantitative analytics, credit risk modelling, macroeconomic forecasting, machine learning and data analytics.​  He has 11 years’ of quantitative analytics experience working for top tier UK and global banks, aerospace and defence, telecommunication and technology companies.​ Sebastian worked in credit risk modelling, model validation, and stress testing across retail and wholesale banking, as well as delivered a large scale data mining and machine learning projects.

12:0013:00

Lunch

12:00 - 13:00

13:0015:00

Stress testing credit risk portfolios

14:45 - 16:15

  • Why undertake stress testing
  • Credit risk losses in a recession
  • Model design
  • Regulatory expectations
  • Use in income stress testing
Ivelina Nilsson

Client partner

4most Europe

An accomplished senior risk professional with 10+ years of senior leadership experience in stress testing, risk analytics, credit risk portfolio management and economics.

Stress Testing

• Led Bank of England, ICAAP and European Banking Authority stress tests for Lloyds Banking Group and Barclays. Reported stress test results to executives, non-executives and regulators

• Spearheaded the development of supervisory and ICAAP stress testing capabilities for Lloyds Banking Group and executed stress testing governance and operating models.

Model Development

• Led 50+ strong modelling teams delivering the modelling of impairment, RWAs, stress tests, as well as model monitoring and calibrations. Led the development of advanced analytics models using machine learning.

Credit Risk

• Provided oversight of retail credit portfolios including Loans, Credit Cards, Current Accounts and Mortgage portfolios

• Led due diligence on credit portfolios and provided investment recommendations.  

Economics

• Led the development of economics scenarios with relevant economic parameters to use in stress testing

• Led an economics team that prepared and presented regular economic briefings for risk professionals.

Chris Warhurst

Technical director

4-most Europe

Chris is 4most’s Technical Director director, and provides the technical lead and oversight across a range of client engagements, including IFRS 9 and IRB. Previously Chris worked at HSBC where he headed up the IFRS 9 modelling workstream across Europe alongside other areas, including Basel modelling, Stress Testing, Loss Forecasting, Pricing and Regulatory Reporting, covering FINREP, COREP, FDSF and AQR. Chris has been involved in discussion with a number of industry bodies, including the PRA and IASB with regards to both IFRS 9 and IRB regulations.

15:0015:15

Afternoon break

14:30 - 14:45

15:1516:00

Group discussion: Credit risk management post IFRS9

10:45 - 12:00

Chris Warhurst

Technical director

4-most Europe

Chris is 4most’s Technical Director director, and provides the technical lead and oversight across a range of client engagements, including IFRS 9 and IRB. Previously Chris worked at HSBC where he headed up the IFRS 9 modelling workstream across Europe alongside other areas, including Basel modelling, Stress Testing, Loss Forecasting, Pricing and Regulatory Reporting, covering FINREP, COREP, FDSF and AQR. Chris has been involved in discussion with a number of industry bodies, including the PRA and IASB with regards to both IFRS 9 and IRB regulations.

Ivelina Nilsson

Client partner

4most Europe

An accomplished senior risk professional with 10+ years of senior leadership experience in stress testing, risk analytics, credit risk portfolio management and economics.

Stress Testing

• Led Bank of England, ICAAP and European Banking Authority stress tests for Lloyds Banking Group and Barclays. Reported stress test results to executives, non-executives and regulators

• Spearheaded the development of supervisory and ICAAP stress testing capabilities for Lloyds Banking Group and executed stress testing governance and operating models.

Model Development

• Led 50+ strong modelling teams delivering the modelling of impairment, RWAs, stress tests, as well as model monitoring and calibrations. Led the development of advanced analytics models using machine learning.

Credit Risk

• Provided oversight of retail credit portfolios including Loans, Credit Cards, Current Accounts and Mortgage portfolios

• Led due diligence on credit portfolios and provided investment recommendations.  

Economics

• Led the development of economics scenarios with relevant economic parameters to use in stress testing

• Led an economics team that prepared and presented regular economic briefings for risk professionals.

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Data science for credit risk modelling

14:30 - 16:15

  • Data management challenges under IFRS 9
  • Preparing loan data
  • Model Evaluation and Implementation
  • Loan data distribution
Chris Karastoyanov

Associate Vice President

Credit Suisse

Risk management professional with 7+ years experience in banking and financial services. Currently an Associate Vice President in the Credit Risk Analytics department at Credit Suisse, overlooking the Exposure & Collateral Modelling team. Started career in the Graduate Program at the London Stock Exchange. Experience in Stress Testing and Market risk at HSBC. Holding MSc in Finance degree from Warwick Business School and a Chartered Financial Analyst (CFA). Keynote speaker at the [email protected] Conference 2017 in Frankfurt on "Brexit impact on banking & risk management".

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Application of explainable AI in a regulated market

10:45 - 12:00

  • Digitalization and machine learning (ML)
  • Capabilities and risk of ML methods for banks
  • Regulatory requirements vs. explainable ML
  • Technical challenges of ML infrastructures for banks
  • Practical example in Python of an explainable AI model
Sebastian Ptasznik

Principal

Parker Fitzgerald

Sebastian leads the Credit Risk Methodology team within firm’s Quantitative Advisory Services. He specialises in quantitative analytics, credit risk modelling, macroeconomic forecasting, machine learning and data analytics.​  He has 11 years’ of quantitative analytics experience working for top tier UK and global banks, aerospace and defence, telecommunication and technology companies.​ Sebastian worked in credit risk modelling, model validation, and stress testing across retail and wholesale banking, as well as delivered a large scale data mining and machine learning projects.

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Model validation and assurance

13:00 - 14:30

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

Senior manager, wholesale credit risk IFRS 9

HSBC

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Model risk management techniques

13:00 - 14:30

  • Corporate
  • Retail
  • Regulatory compliance
  • TRIM
  • IFRS 9
  • Long exposures
Maria Kostova

Credit Risk Specialist 

European Central Bank