Credit Risk Modelling for Banks London - 2018 Practitioners' Forum

• Cyclicality of IRB Probability of Default (PD) Models
• EBA’s Loss Given Default (LGD) Estimation
• EBA’s Definition of Default Requirements
• IFRS 9 Modelling and EBA Stress Testing
• Basel and IFRS 9 Credit Risk alignment
• Validation of Credit Risk Models
• ECB’s TRIM (Targeted Review of Internal Models)
• Basel IV Standardised Requirements
• Basel IV IRB Restrictions
• Basel IV Output Floors
• Stress Testing and Forecasting

- Panel Session: Addressing Practical Challenges of Recent Regulatory Enhancements to IRB Modelling

• Andrea Buzzigoli, HSBC
• Mike Politt, Principality Building Society
• Richard Tedder,, Lloyds Banking Group
• Richard Norgate, Bank of Ireland

- Panel Session: Addressing the Challenges of Aligning Basel and IFRS 9 Credit Risk Methodology and Models

• Christian Duesterbergt, Erste Group
• Alan Burke, Santander UK
• Howe Timms, Close Brothers
• Elena Minduksheva, International Investment Bank

• Rolf Dürr, Credit Suisse on:

Cyclicality of IRB Probability of Default (PD) Models to Meet Regulatory Expectations

• Clemens Adler, Deutsche Bank on:

EBA’s New Rules for Loss Given Default (LGD) Estimation for Non-Defaulted and Defaulted Exposures

• Richard Tedder, Lloyds Banking Group on:

Implementation of the EBA’s New Definition of Default Requirements

• Peter Quell, DZ Bank on:

Validation of Credit Risk Models and Lessons Learned from the ECB’s Targeted Review of Internal Models (TRIM)