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Incorporating Regulatory Reform into Credit Risk Modelling

Applying the latest regulatory standards for benchmarking PD and LGD models

2-3 March 2015
Crown Plaza London The City, London, United Kingdom

Conference Workshop

Optimising the modelling cycle: Design to validation in a heavily regulated environment


Why You Should Attend

Incorporating Regulatory Reform into Credit Risk Modelling

This marcus evans conference will guide participants through the regulatory minefield that has challenged the fundamentals of credit risk modelling. There will be an in depth assessment of what the impact of the European benchmarking exercise will mean in practice for both high and low risk portfolios.

In addition the conference will also provide the latest insights on credit risk stress testing, the Asset Quality Review and regulatory guidance on internal model use. There will also be an evaluation of credit risk modelling strategy for a turbulent regulatory outlook in an attempt to close the widening gap between regulatory theory and credit risk modelling in practice

The largest exposure to any risk type that banks have is credit risk, and as such the way in which this should be modelled is integral to the way that banks go about their business. Recent reviews of how modelling should be done across the financial sector have seen some of the basics of credit risk modelling and management challenged. New rules on benchmarking and the newfound centrality of stress testing compounded by re-occurring uncertainty with the Asset Quality Review, and regional disparities with regulatory requirements has led to fundamental changes in the ways that credit risk is being modelled

 

 


Key Topics

  • RBS evaluate the usefulness of internal ratings for credit risk modelling
  • UBS review the difficulties of using internal models in a heavily regulated environment
  • Credit Suisse and Lloyds discuss the strategic responses egulatory changes in order to ensure durability of credit risk models
  • Previous Attendees Include

    HSBC, Santander, Lloyds Banking Group, Nomura, UniCredit, Banca IMI, BNP Paribas, Sberbank CIB, Commerzbank, Société Générale, ING Bank and many more.


    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.


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    Practical Insights From

    Soren Topp Jensen
    Head of Credit Risk Models
    Danske Bank

    Jesper Colliander Kristensen
    Head of Risk Management
    DLR Kredit A/S

    Eleni Shqevi
    Senior Manager Model Approval
    Lloyds Banking Group

    Grazia Rapisarda
    Head of Wholesale Modelling
    RBS

    Marco Rollo
    Head of Credit Risk Modelling
    Credit Agricole, Italy

    Zaid Ali
    Director, Credit Risk
    UBS

    Gianluca Cantalupi
    Head of UK IB Credit Portfolio Management
    Credit Suisse

    Susanne Roehrig
    Head of Retail Models
    Deutsche Postbank

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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Kristiyan Sokolov


    PO Box 24797
    CY-1304 Nicosia
    Cyprus

    Telephone:
    +357 22 849 408
    Fax: +357 22849 394
    Email: KristiyanS@marcusevansuk.com