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2nd Edition IRB Models, the Standardised Approach for Credit Risk, and Capital Floors

Ensuring the development of exact, effective and efficient modelling processes under the latest regulatory environment

20-21 April 2017
Marriott West India Quay, London, United Kingdom


Why You Should Attend

2nd Edition IRB Models, the Standardised Approach for Credit Risk, and Capital Floors

This marcus evans event will provide the opportunity to learn of the latest round of regulation that will impact the models that determine around 70% of a bank’s capital requirements. Hearing the discussion on current modelling strategies will enable decision makers to keep at the cutting edge of the debate and ensure they weigh the impact of these strategies carefully; guaranteeing they deliver the right solution for their business requirements.

Counting the cost of the risk and capital floors implemented by the Basel Committee, alongside the increased capital requirements demanded by the expected loss accounting approach mandated by the IFRS9, has left some banks questioning the ability of internal models to significantly impact their bottom line given the cost involved in building, maintaining and validating these complex models. While these models deliver exceptional risk sensitivity to localised markets compared with the Standardised Approach, their efficacy in terms of reducing the capital requirements of lending structures has come under increased pressure. Under the new regulations, the goal is not only to fine tune current models, ensuring that they continue to grant the best reduction in capital requirements, but also to understand where and how these models can be best utilised to deliver results that justify their expense.


Key Topics

  • Discuss the updates to regulation concerning Fundamental and Advanced IRB models and the SA
  • Understand the impact risk and capital floors will have on the modelling environment
  • Obtain critical insight into how other banks are choosing to engage with the requirements on internal models
  • Optimise your current models to significantly reduce capital requirements
  • Discover key principles in managing the complexity required by the impact of the IFRS9 on Credit Risk
  • Previous Attendees Include

    • Barclays
    • RBS
    • Metro Bank
    • Unicredit
    • Morgan Stanley
    • Santander
    • Danske Bank
    • Nordea
    • UBS
    • Credit Suisse
    • and many more..
    • Rabobank
    • Alpha Bank
    • Bank of Ireland
    • BNP Paribas
    • BBVA
    • Deloitte
    • HSBC
    • Landsbankinn
    • ING
    • Nedbank Sydbank
    • Belfius


    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.


    Event Sponsors
    SAS
    Visit website >>


    Event Partners


    Practical Insights From

    Ed Jenkins
    Global Head of Wholesale Credit and Market Risk
    HSBC

    Rik van de Weerthof
    Credit Risk Manager
    Nationale-Nederlanden

    Philippe Delley
    Head, Risk Aggregation Analytics
    Credit Suisse

    Catherine Keane
    Head of Bank and Country Risk
    Bank of Ireland

    Diana Kapsa
    Head of Portfolio Credit Management
    UBS

    Luc Leonard
    Head of Model Validation and Quality Control
    Belfius

    Alan Smillie
    Head of Capital and Rating Methodology
    Nomura

    Thomas Villadsen
    Economist – Regulatory Affairs
    Jyske Bank

    Click Here For Full Agenda

    Voice of Our Customers
    • “‘A great conference on an important and difficult topic.’ Senior Vice President, Bank of Montreal
    • ‘High level of subjects. Good interaction between speakers and audience.’ Senior Manager, ING
    • ‘Good speakers, great topic…Definitely useful for my practice.’ Senior Risk Manager, SNS Reaal
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    Event Contact

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

    Yiota Andreou


    marcus evans (Europe) Ltd
    PO Box 24797
    Cyprus

    Telephone:
    +357 22 849 404
    Fax: +357 22 849 310
    Email: YiotaA@marcusevanscy.com