Agenda

Agenda

Credit Risk Modelling - Agenda


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Live virtual course | Agenda timing is in GMT

Respective EST timing is:
Start: 9am
Break: 10am
Finish: 11.15am
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14:0015:00

Best practice credit risk modelling

02:00 - 03:00

  • 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

15:0015:15

Break

15:00 - 15:15

15:1516:15

Stress testing credit risk portfolios

14:00 - 15:00

  • General principles of forecasting models

  • Regulatory expectations

  • The importance of undertaking stress testing

  • Credit risk losses in a recession

  • Model design

  • Use in income stress testing

Grigoris Karakoulas

President & founder

InfoAgora Inc

Grigoris Karakoulas is the president and founder of InfoAgora Inc. that has provided risk management consulting, prescriptive analytics, RegTech solutions (CECL/ IFRS9/IRRBB/Basel III) and model risk management services to Fortune-500 financial institutions with multi-million dollar benefits. He is also Adjunct Professor in the Department of Computer Science at the University of Toronto. Grigoris has published more than 40 papers in journals and conference proceedings in the areas of machine learning, risk management and predictive modelling in banking. He is on the PRMIA subject matter boards for Stress Testing and Enterprise Risk Management. He holds a PhD in Computer Science (Artificial Intelligence).

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

Jos Gheerardyn

Co-founder and CEO

Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).

15:0015:15

Break

15:00 - 15:15

15:1516:15

Model risk management

15:15 - 16:15

  • Regulatory compliance

  • Corporate

  • Retail

  • TRIM guidelines

  • IFRS 9

  • Long exposures

Jos Gheerardyn

Co-founder and CEO

Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).

14:0015:00

Machine learning and AI in credit risk models

14:00 - 15:00

  • New evolutions within the field

  • Smaller data sets due to sparse data

  • Building trustworthy AI

  • Defining bias

  • Explainability

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.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Climate risk

15:15 - 16:15

  • Latest guidelines

  • Including climate risk in your credit risk assessment

  • ESG factors and so on

  • How will this impact counterparties?

  • 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. 

14:0015:00

Effects of COVID-19 on credit risk modelling

14:00 - 15:00

  • Impact on bank’s portfolios

  • How stressed will the models get?

  • Managing model performance

  • Possession proceedings

  • Technical default

  • Design limits based on historical data

Navin Rauniar

Partner & Director

PRMIA

Navin is an independent risk partner with over 20 years’ experience in advising & implementing the financial services industry on risk and regulatory matters. Navin specialises in the delivery of Capital Markets & Risk regulations for the industry; whilst spearheading the analysis for ESG, TCFD, Climate Risk, IBOR Transition, FRTB, IRRBB, Basel IV, CRR 2 and CRD V development.

Prior to entering the advisory space, Navin spent 15+ years in the industry working in various global run-the-bank and change-the-bank roles for HSBC, 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 speaking at risk, regulatory & leadership events. He is a frequent commentator to the press including risk.net on capital markets and risk management topics.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Forward looking approach to 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

  • Government policy in credit risk models and capital release

Navin Rauniar

Partner & Director

PRMIA

Navin is an independent risk partner with over 20 years’ experience in advising & implementing the financial services industry on risk and regulatory matters. Navin specialises in the delivery of Capital Markets & Risk regulations for the industry; whilst spearheading the analysis for ESG, TCFD, Climate Risk, IBOR Transition, FRTB, IRRBB, Basel IV, CRR 2 and CRD V development.

Prior to entering the advisory space, Navin spent 15+ years in the industry working in various global run-the-bank and change-the-bank roles for HSBC, 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 speaking at risk, regulatory & leadership events. He is a frequent commentator to the press including risk.net on capital markets and risk management topics.