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EBA Guidelines & TRIM: Challenges and Impacts of next IRB models

Webinar powered by Marcus Evans

Thursday, November 22, 2018 - 03:00 PM GMT

Over the past few years, the European Regulator has initiated a process or harmonization of IRB models practices and methodologies across EU Countries and Banks aiming at reducing the RWA variability due to non risk-related topics. Recent times have indeed seen a proliferation of Regulation, RTS and Guidelines covering several topics, from default definition to IRB models, which Banks are obliged to comply with by end of 2020.

The aforementioned compliance with new rules will pose important challenges for EU Banks, in consideration of several aspects, among them the effort required in terms of data preparation as well as the workload and knowledge necessary for models re-estimation/re-calibration and, last but not least, the potential impact in terms of RWA/capital increase.

In this webinar, leading IRB practitioners from Prometeia, Belfius and Erste Group discussed:

  • New default definition and its potential impact on capital requirements
  • New requirements related to LGD and LGD Defaulted Assets models (e.g. inclusion of incomplete workout, treatment of NPL disposals, downturn LGD estimation, …)
  • Estimation and inclusion of Margin of Conservatism, with particular focus on Low Default Portfolios
  • Recommendation raised by the Regulator during the ongoing Targeted Review of Internal Models (TRIM) inspections
EBA Guidelines & TRIM: Challenges and Impacts of next IRB models

Prometeia's Speaker

Christian Marini - Prometeia

Christian Marini
Head of Prometeia’s IFRS 9 development team, Christian has a 10+ year experience as a credit risk models developer within the context of worldwide banks as well as non-financial companies, in coherence with the Basel2 and IFRS 9 regulatory compliance. The projects have been executed across retail, SMEs, corporate portfolio and large corporate portfolio, consisting of private individuals/companies, government companies and financial institutions.