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Breakout room 3: Credit Risk Models & Advisory

Session schedule

Short description
10.00 - 10.45
Regulatory PD models for Corporate portfolios
PD models for Corporate asset class (e.g. SME and Corporate): financial, internal, system and qualitative information
11.00 - 11.30
Regulatory PD models for Retail portfolios
PD models for Retail asset class - application and behavioral models: customer, contract and system information
11.45 - 12.15
Regulatory PD models for Low Default portfolios
PD models for Low Default Portfolios (e.g. Large Corporate, FI, …): financial and qualitative information
12.30 - 13.30
Regulatory LGD models
LGD models for Retail and Corporate portfolios: unsecured v overall
14.30 - 15.15
Stress Test models
Stress Test models for Retail and Corporate portfolios: scenarios and
satellite models
15.30 - 16.15
Models validation framework
Validation framework for credit risk models: PD, LGD, EAD
16.30 - 17.15
Models validation framework
Model validation tool implementing the set of controls designed in
validation framework
17.15 - 18.00
Last regulatory evolutions on models
Last regulatory evolutions in credit risk models: Basel 4 and EBA