Agenda

Agenda

Credit Risk Management and Modelling - Frankfurt

Course agenda

Day One: Wednesday, November 13, 2019

08:30

Registration and refreshments

09:00

Credit risk management post IFRS 9

  • Update on IFRS 9 implementation and supervisory actions 

  • Challenges and remediation activity

  • Classification and measurement of financial instruments

  • Comparison of methodologies and outputs across Europe, the UK and US

  • Challenges arising from IFRS 9;

    • Data management challenges

    • Back testing and P&L attribution  - overcoming data alignment issues

    • The question of volatility in P&L figures

    • The importance of precision and quality

10:30

Morning break

11:00

Basel IV, IRB and TRIM 

  • Interaction and impacts 

  • Credit risk and Basel requirements

  • Impact on AIRB of inputs and output floors. 

  • Recalculation of RWAs using the standardised approaches

  • Incorporating IFRS 9 provisions in the new AIRB and standardised approaches

  • IFRS 9 modelling implications of Basel IV

Speaker:
Radka Margitova, senior manager, financial services risk consulting, credit risk, PwC

12:30

Lunch

1:30

Structural credit risk models

  • Equity and debts

  • Asset value uncertainty

  • How to estimate the probability of default

  • Optimal capital structure models 

  • Credit spread risk

3:00

Afternoon break

3:30

Best practice credit risk modelling

  • Coordinating across different expertise through the business

  • Modelling for Low-Default Portfolios

  • Default intensity

  • Techniques for modelling components in IFRS 9

Speaker: Jörg Lemm, Privatdozent, Institute of Theoretical Physics at WWU Münster and Credit risk manager, DZ HYP (part time job in credit risk after retirement)

5:00

End of day one

Day Two: Thursday, November 14, 2019

08:30

Refreshments

09:00

Non-modelled credit risks

  • Basel rules – why, how, when? 

  • Standardised and IRB approaches

  • Assessing credit exposures

  • Foundation IRB and LGD measures to generate RWA

10:30

Morning break

11:00

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

Speaker:
Radka Margitova, senior manager, financial services risk consulting, credit risk, PwC

12:30

Lunch

1:30

Stress testing credit risk portfolios

  • Basics of credit risk stress testing

  • Stress testing at the macro portfolio level

  • Challenges of forecasting

  • Potential differences under IFRS 9

  • Pros and cons of the new and old approaches

Speaker:
Dr Zhilin Yao, head of risk controlling, Agricultural Bank of China

3:00

Afternoon break

3:30

Machine learning and AI in 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

5:00

End of course