RISK MANAGEMENT THOUGHT LEADERSHIP

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Wednesday, July 20th, 16.00 CET

IFRS 9 - The Shift to an era of Forward Looking Calculations

Webinar Panel Discussion with Barclays Investment Bank, Austrian Financial Market Authority, UniCredit Bank AG and FirstRand Group


                                                           To download webinar content click here


The shift to an era of forward looking calculations has dawned upon credit risk modellers, and with uncertainty around definitions and regulations, as well as modelling best practice, IFRS9 is a topic that is topping the priority lists for banks around the globe.

Yes, the way in which it will affect how banks account for credit losses on their loan portfolios is being impacted in a major way, and whilst uncertainty still dominates the discussion, 2016 is widely expected to be the year in which firms start getting to grips with the practicalities of the modelling in advance of a parallel run in 2017.

That is why, in partnership with Marcus Evans, we have gathered a handful of IFRS9 Champions to share their expertise on the increasingly urgent matter of managing the implications of IFRS9.

During the discussion they addressed the following:

  1. the situation on the ground: main challenges of IFRS9 for firms at different levels of Credit Risk Model development
  2. ECL methodologies: what's the best approach for delivering the IFRS9 impairment model?
  3. forward looking information: how to embed macroeconomic overlays?
  4. making the transition: the impact of an expected loss impairment model on credit strategies, loan approval or pricing
  5. systems and solutions: challenges associated with building a robust IT system, as well as pros and cons of specialised Software solutions versus internal enhancements
 
 

The Speakers

 

Sonja Rieder, Barclays Investment Bank

Sonja Rieder is Vice President within the Quantitative Analytics – Wholesale Credit Risk department of Barclays. In this role, she is responsible for the model development of credit risk models and, in particular, for the new development of probability of default (PD) models for Corporates. Within the IFRS9 project, she leads the PD Term structure workstream and is responsible for various other items such as stage allocation. Sonja joined Barclays in 2013. Prior to joining Barclays she was a Quantitative Analyst at PricewaterhouseCoopers in Zurich where she performed actuarial audits in the insurance sector as well as statistical advisory work. Sonja Rieder holds a PhD in Statistics from the Swiss Federal Institute of Technology in Lausanne (ETHL) and a diploma in Mathematics and Physics from the Albert-Ludwigs University in Freiburg.

 
 

David Grünberger, Austrian Financial Market Authority

Dr. David Grünberger, CPA heads the financial reporting enforcement unit at the Austrian Financial Market Authority. His team examines the financial communication of large corporations listed on European stock exchanges for accounting errors and misstatements. Any infringements are made public and prosecuted. This reduces information asymmetry in the market, maintains investors’ trust and confidence and improves the effectiveness of the European capital market. His team cooperates with the other EU- and Non-EU authorities such as the US-SEC to examine groups based in other jurisdictions. In 2000, David obtained his auditors’ license (CPA) in Chicago, and continued as a research assistant at the University of Vienna, completing his doctoral program with a focus in accounting. He is still active in applied accounting research and teaching, publishing papers and textbooks on international accounting (IFRS) and credit risk measurement. He also lectures IFRS in master programs of the University of Vienna and the Vienna University of Economics.

 
 

André Wilch, UniCredit Bank AG

Dr. André Wilch is Head of Credit Risk Control at HypoVereinsbank in Munich, the German subsidiary of UniCredit Group, He is currently responsible for a range of topics, including internal risk models for ICAAP purposes, banking book RWA calculation, stress testing, credit risk strategies, validation and risk inventory. Prior to joining UniCredit in 2012, André was working for WestLB in Düsseldorf for 10 years, where he participated in the development of the internal market risk models and then took over the responsibility of credit risk modelling and ICAAP. Before moving to the banking industry, he held a position at the German securities and the exchange commission (Bundesaufsichtsamt für den Wertpapierhandel, now part of the German regulator BAFIN), developing the statistical tools for detection of insider trading and market manipulation. André studied physics in Heidelberg and Grenoble, and holds a PhD degree in theoretical physics from Brussels University.

 
 

Lian Van Oudheusden, FirstRand Group

Lian is a qualified actuary specialising in Credit Risk. She is employed at FirstRand Bank within Group Credit Risk Management, where she oversees Retail Credit Analytics. Her responsibilities include oversight of the modelling work stream within the Group’s IFRS 9 project. Prior to joining FirstRand, Lian was a Senior Manager at Ernst & Young, where she worked in Africa Actuarial Services as the Banking Practice Area Lead.

 
 
 

Moderator

 

Altin Kadareja, Senior Consultant Prometeia

Altin is leading the development of IFRS 9 solutions portfolio at Prometeia and has managed various projects in credit risk management, with particular focus on consulting leading Financial Services institutions across EMEA markets. Altin has focused on CRR/CRD/Basel 2/3, credit processes and strategies, pricing, capital planning, Icaap, stress testing and the development of risk models. Before joining Prometeia 3 years ago, Altin gained a sound banking foundation at Intesa SanPaolo after obtaining a Master of science in Economics from the Bocconi University.

 

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