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Online Forum 28-29 May 2020

Annual Credit Risk Management Forum6th

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Online Forum

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The entire event is recorded so you can watch it back any time

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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



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



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

http://www.rsu-rating.de/en/%20

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


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



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


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


[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


[email protected] +36 1 848 0515www.glceurope.com [email protected] +36 1 848 0515www.glceurope.com

About GLCGlobal Leading Conferences (GLC) is an industry leader in the field of business intelligence. We provide interactive & impactful business platforms and networking opportunities for senior level executives by bringing them together for B2B Conferences, Global Summits, Training & Workshops. Being customer focused and having our client’s priorities at the forefront, are amongst our core values and is of high importance to the way we operate our business.Our passion for customer satisfaction and results, drive us to work with industry experts closely - who fully understand their peers interests and day-to-day challenges - in order to deliver the most impactful events. We are specialized in industries such as; Pharmaceutical, Banking & Finance, Energy, Oil & Gas, IT & Communication, Sales & Marketing, Law and Human Resources.Our commitment is to deliver the latest information to our clients, while maintaining highest quality and standards. By attending GLC events your company will be able to apply advanced strategies to your operations, gain the latest know-how’s and benchmark yourself higher against the competition while enjoying a 5 star environment.

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