Online Forum 28-29 May 2020
Annual Credit Risk Management Forum6th
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28-29 May 2020 Annual Credit Risk Management Forum6th
[email protected] +36 1 848 0515www.glceurope.com
Representation of Attendees by Job Title
Representation of Attendees by region
46%93%
22%52% 8% 3%17%
14% 40%
Senior Manager, Manager Advisor,
Consultant,Analyst
C-Level Executive,
Member of the Board
Managing Director,Director, VP, EVP,
SVP, Head of Department
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93 % said that they would recommend
GLC Europe to their colleagues
93%
93% said that they would attend future
GLC Europe events
Meet 100+
Feedback from previous events
Great event withinteresting speakers
It was a well-organizedconference
Extensive and inclusive seminar
Overview of the past event
28-29 May 2020 Annual Credit Risk Management Forum6th
[email protected] +36 1 848 0515www.glceurope.com
Valued Speakers
Catherine Keane Head of Bank and Country Risk
Bank of Ireland Ireland
andrea Buzzigoli Head of Global Wholesale
Credit Risk AnalyticsHSBC
United Kingdom
andreea Petreanu Head of Credit Risk Management
Mizuho International United Kingdom
dorte KureK Risk Management Professional
Denmark
Karlis daneviCs Member of the Management
BoardSEB
Latvia
FrederiC Menninger Quantitative Credit Risk Modeler
/ Assistant Vice PresidentCredit suisseSwitzerland
andrea CreMoninoHead of Portfolio & Pricing
Management Analysis & StrategyUniCredit
Italy
JosePh Jawahiri Head of Scanning &
Applicability Assessment NordeaSweden
gernot hinterleitnerHead of Integrated Risk Analysis Raiffeisen Bank International
Austria
gergely gaBlerDirector, Prudential Modelling and
IT Supervision Directorate Central Bank of Hungary
Hungary
Petr FraneKHead of Strategic Risk Management
Česká spořitelnaCzech Republic
Maurizio garro Senior Lead - IBOR
Transition programme Lloyds Banking Group
United Kingdom
Juan rio salvador Coach, Trainer and
International Speaker Ireland
david vanden aBeele Head of Risk Modelling
& Data Analytics Credo Software & Consulting
Belgium
28-29 May 2020 Annual Credit Risk Management Forum6th
[email protected] +36 1 848 0515www.glceurope.com
Event Sponsors
CrEdO has been offering ICT and modelling support in the areas of Risk, Finance and Data Analytics to European banks of all sizes since 2001. As a software provider, Credo develops and markets three products:
• IFRSX –platform for integrated stress testing and scenario analysis, including forecasting capabilities and detailed financial (IFRS9/16) and regulatory (Basel IV/liquidity/IRRBB) calculations.
• YQ – Cloud-based scoring engine for Data Analytics in batch and real-time mode.• CCM - fully integrated conceptual data model of the balance sheets of banks
and insurance companies, useful for structuring data warehouses and becoming BCBS239 compliant.
For more information visit: www.credo.be or speak to us at the event
IRBA compliant internal rating systems represent rSU’s core capability. RSU provides rating systems to over 45 customers – mainly banks and insurance companies. The unique and evolving data pool is our key asset and provides the basis for all twelve rating models, each of which is tailored to a specific asset class. In addition, RSU’s product range includes tools for LGD estimation and AI driven automated risk analysis. We develop and validate all models, centrally operate the application and ensure IRBA-regulatory compliance for EBA/ ECB supervised institutions. Founded in 2003, RSU has since been recognized for its expertise in credit risk measurement for wholesale exposures.
For more information visit: www.rsu-rating.de/en/ or speak to us at the event
EBA/ECB approved IRBA compliant internal rating systems represent RSU’s core capability. RSU provides internal rating systems to over 45 customers – mainly banks and insurance companies. The unique and evolving international data pool is our key asset and provides the basis for all twelve rating models, each of which is tailored to a specific wholesale asset class. In addition, RSU’s product range includes tools for LGD estimation and AI driven automated risk analysis. We develop and validate all models, centrally operate the IT-application and ensure IRBA-regulatory compliance.
Founded in 2003, RSU has since been recognized for its outstanding expertise in credit risk measurement for wholesale exposures. The company is based in Munich and currently employs over 100 staff.
www.rsu-rating.de/en
LET S HAVE A POOL PARTY……and join our presentation:
Examining the potential of internal pool models (day 1, 13.30)
Program: day 1
09:10
09:40
10:10
11:00
11:30
09:00 opening remarks from the Chair
28thof May, 2020
[email protected] +36 1 848 0515www.glceurope.com
Facing the challenges with management of and compliance with the flood of regulatory requirements Q & A Session
JosePh Jawahiri Head of Scanning & Applicability Assessment Nordea – Sweden
10:30 short recess
how to proceed on integrated stress testing? Current developments and demands• Integrated Stresstesting Overview
• Economic vs Normative perspective
• Reverse Stresstesting and it needs
• Demands of Integrated Stresstesting
• New issues to be considered in Integrated Stresstesting
Q & A Session
gernot hinterleitnerHead of Integrated Risk AnalysisRaiffeisen Bank International - Austria
Modelling issues – interaction between irB and iFrs9• Key differences between IRB models and IFRS 9 models
• Governance framweworks
• Risk and finance responsibilities
• Practical issues and how to resolve them
Q & A Session
Catherine KeaneHead of Bank and Country RiskBank of Ireland - Ireland
using a modern machine learning devops approach to (credit) risk modellingQ & A Session
david vanden aBeeleHead of Risk Modelling & Data AnalyticsCredo Software & Consulting - Belgium
lunch Break12:00
supervisory review on interest rate risk in the Banking Book under iCaaP• IRRBB exposure in Hungarian banks
• Renewed supervisory toolset to allocate sufficient capital to cover IRRBB
• Future EU-wide and country level plans to tackle IRRBB
Q & A Session
gergely gaBlerDirector, Prudential Modelling and IT Supervision DirectorateCentral Bank of Hungary - Hungary
28-29 May 2020 Annual Credit Risk Management Forum6th
[email protected] +36 1 848 0515www.glceurope.com
14:30
15:00 Challenges in Credit risk Modelling and measurement of model risk• New regulatory framework
• Margin of Conservatism in credit risk modelling
Q & A Session
andrea Buzzigoli Head of Global Wholesale Credit Risk AnalyticsHSBC - United Kingdom
14:00 Tea & Coffee Break
13:30
introducing sustainability risks into credit risk management• What is sustainability and ESG?
• Why is sustainability risk relevant in credit risk management?
• How can sustainability risk be incorporated into sector risk management?
• Which areas are relevant to consider at customer level?
Q & A Session
dorte KureKRisk Management ProfessionalDenmark
Visit for more details: www.trainergram.com
15:30 Closing remarks from the Chair
15:40 end of day 1
13:00 year 2020 in irB models from the bank perspective• New default definition
• New slotting model for Specialised lending exposures
• New PD and LGD models
Q & A Session
Petr FraneKHead of Strategic Risk ManagementČeská spořitelna - Czech Republic
examining the potential of internal pool models
Program: day 229thof May, 2019
[email protected] +36 1 848 0515www.glceurope.com
risk culture and governance: decomposing the concept• Difference between mature and new organisations
• Changing corporate culture – how and why and by whom?
• What makes people assume risk differently?
• Setting the risk appetite within the existing corporate culture: aligning the two is a difficult act
• Defining Risk Governance and why this is important
• Financial Reporting and regulatory requirements
• Benefits of a proper and strong risk governance
Q & A Session
andreea Petreanu Head of Credit Risk Management Mizuho International - United Kingdom
09:00
10:30 short recess
11:00
09:30 Effective leadership for new risk management challenges• The future of work: leveraging artificial intelligence, innovation & diversity
• Ten top operational risks industry wide
• Proactive risk & controls: evolution of governance, risk and controls
• Regulatory requirements & culture: performing with integrity and trust
Q & A Session
Juan rio salvador Coach, Trainer and International Speaker Ireland
08:55 opening remarks from the Chair
10:00 PANEL DISCUSSION: The future of stress testing
• Will stress testing remain what it is today, or will it take a more important place in the future and if so, what will it look like?
Moderator:david vanden aBeeleHead of Risk Modelling & Data AnalyticsCredo Software & Consulting - Belgium
active portfolio management: the everlasting challenge…in a pandemia era• Targets of active portfolio management
• Main levers
• Interactions with other processes
• Impacts of Covid on portfolio management and main banks’ reactions
Q & A Session
andrea CreMoninoHead of Portfolio & Pricing Management Analysis & StrategyUniCredit - Italy
28-29 May 2020 Annual Credit Risk Management Forum6th
[email protected] +36 1 848 0515www.glceurope.com [email protected] +36 1 848 0515www.glceurope.com
Meet the producer
To attend the event please contact:andrew Berry - senior ConFerenCe Manager+36 1 848 07 [email protected]
Contact Us
ALETTA LEMAk SENIOr CONFErENCE PrOdUCErTel.: +36 1848 0541E-mail: [email protected]
If you intend to sponsor the event please contact:RandEl PETERs - BusinEss dEvEloPmEnT managER+36 1 848 07 [email protected]
13:30
13:00
Backtesting of scenario Models• Backtesting essential for new Scenario Models (IFRS9/US GAAP CECL)
• No clear Industry standard yet
• Correlation is one of the key challenges
Q & A Session
FrederiC Menninger Quantitative Credit Risk Modeler / Assistant Vice PresidentCredit suisse - Switzerland
14:00 Closing remarks from the Chair
14:05 end of day 2
11:30 KyC/aMl aspects of credit risk management• Situation in northern Europe concerning AML / KYC
• Good credit culture as the main cornerstone for KYC
• Main principles of KYC in lending and in AML
• Main pinciples for good AML program - the same as in mamaging Credit risk
• Differences between Credit risk (more static risk) and AML risk (more dynamic risk)
Q & A Session
Karlis daneviCs Member of the Management Board SEB - Latvia
lunch Break12:00
How to set and develop efficient risk appetite framework• Why does it matter?
• Key elements
• Case study
Q & A Session
Maurizio garro Senior Lead - IBOR Transition programme Lloyds Banking Group - United Kingdom
28-29 May 2020 Annual Credit Risk Management Forum6th
[email protected] +36 1 848 0515www.glceurope.com [email protected] +36 1 848 0515www.glceurope.com
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