RISK MANAGEMENT THOUGHT LEADERSHIP

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Hilton Canary Wharf, London - June 29-30, 2017

5th Annual Credit Risk Modelling under IFRS9

Practical examples of the changes made to credit risk models under IFRS9 and how to backtest these models

 

                                                           For further information click here


With the 2018 deadline for compliance now fast approaching, banks are in the crucial latter stages of reforming their credit risk models to meet the IFRS9 standards.

Banks have had to make a series of assumptions about key definitions which will have significant effects on their models without knowing if they will withstand regulatory scrutiny.

This marcus evans event provides the opportunity to discuss and compare solutions to modelling challenges with other banks before implementation and to benchmark their approaches to validation.

The conference will also cover the most up-to-date expectations of supervisors.

Prometeia will show its solution for an integrated modelling approach for IFRS9 LEL.

 
 

Cash flow simulation approach for specialized lending portfolios: an integrated modelling approach for IFRS9 LEL

Description of Prometeia cash flow simulation model for IPRE portfolio

  1. Prometeia solutions: expert-based vs stochastic simulation;
  2. one-year and lifetime PD estimation;
  3. LGD estimation;scenario-dependent parameters;
  4. implementation challenges.

Prometeia's speaker

Marco Stella, Senior Manager Prometeia
Long term experience as international consultant in credit risk modeling and validation projects within worldwide commercial as well as multilateral development Banks contexts (Italy, Austria, Russia, Croatia, Turkey, Tunisia) and local regulators. Lecturer at Master in Financial Risk Management of Graduate School of Business at MIP - Politecnico di Milano and Master in Finance, Insurance and Risk Management of Real Collegio Carlo Alberto (University of Turin).

 

                                                           For further information click here

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