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Agenda
Agenda
Credit Risk Modelling - Agenda
08:30 – 09:00
Registration and refreshments
09:00 – 10:30
Best practice 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
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".
10:30 – 10:45
Morning break
10:45 – 12:00
AI for credit risk modelling
- 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 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.
12:00 – 13:00
Lunch
13:00 – 15:00
Stress testing credit risk portfolios
- Why undertake stress testing
- Credit risk losses in a recession
- Model design
- Regulatory expectations
- Use in income stress testing
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 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.
15:00 – 15:15
Afternoon break
15:15 – 16:00
Group discussion: Credit risk management post IFRS9
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.
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.
08:30 – 09:00
Refreshments
09:00 – 10:30
Data science for credit risk modelling
- Data management challenges under IFRS 9
- Preparing loan data
- Model Evaluation and Implementation
- Loan data distribution
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".
10:30 – 10:45
Morning break
10:45 – 12:00
Application of explainable AI in a regulated market
- 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 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.
12:00 – 13:00
Lunch
13:00 – 14:30
Model validation and assurance
- Model validation framework
- Building and maintaining a framework to validate credit portfolio models
- Macro-economic variable choices
- Vendor models
- Future considerations
14:30 – 14:45
Afternoon break
14:45 – 16:15
Model risk management techniques
- Corporate
- Retail
- Regulatory compliance
- TRIM
- IFRS 9
- Long exposures
