Events
Day 1
Rita Gnutti
Executive Director Internal Validation and Controls, Group Chief Risk Officer area
Sotiris Migkos
Head of Model Risk
Karlis Danevics
Chief Risk Officer (CRO)
Jérôme Henry
Principal Adviser - DG Macroprudential Policy and Financial Stability
Shankar Arora
Director, Corporate Credit, Citi Global Risk Head, Social Finance
Aymeric Chauve
Director - Financial Institutions Credit Risk Europe/UK at Societe Generale. Counterparty Credit Risk specialist
Dr. Elma Agic-Sabeta
Project manager, Capital & Risk Analytics
08:30 | Registration, Networking & Coffee
08:55 | Opening Remarks from the Chairperson
09:00 | Case Study | 40 min
Automation of Internal Validation for credit risk models and use of GenAI
- Model Risk and need for Internal Validation Digitalization
- GenAI enablers and accelerators
- Practical Use Case: use of GenAI in regulatory requirements assessments
09:40 | Case Study | 40 min
The presentation discusses the AI and ML Model Risk in Dynamic Environments. It provides context around the AI/ML models and differences in risk framework approaches and Model Risk assessments. In particular, it covers:
- Coverage of AI/ML models vs. risk
- Characteristics of AI/ML models in the model risk control framework
- Evidence on the accuracy of AI/ML models vs. traditional methods
- The fundamentals of an AI/ML Model Risk Control Framework
11:00 | Coffee Break & Networking | 40 min
11:40 | Case Study | 40 min
Credit Risk Culture
- Importance of culture
- What defines right culture
- What sort of leadership risk field needs
- Probable signs of bad risk culture
- Practical examples of right culture being implemented
12:20 | Interactive Panel Discussion | 40 min
Counter Party Credit Risk & SA-CCR
- What learnings have we taken away and incorporated into future revised adaptations?
13:00 | Lunch Break | 1 hour
14:00 | Case Study | 35 min
Dealing With Unusual Risks
- Macro financial risks update
- Geopolitical risks – sources, channels and impacts
- The case for extreme scenarios
14:35 | Case Study | 35 min
SPONSORED AREA | TO BE ANNOUNCED
15:10 | Case Study | 35 min
Citi Social Finance - Expanding Access To Basic Services For Low-Income Segments
- Citi’s Social Finance Framework
- The role of impact investors
- Social Finance integration into ESG
- Key risk elements
- Case study
15:45 | Coffee Break & Networking | 30 min
16:15 | Case Study | 35 min
Making A Credit Decision For Wholesale Credit (Not Retail) Around The Following Steps
- Introduction/taxonomy
- Rating
- Transaction analysis
- Limits assessment
- Ancillary items
- A glimpse at counterparty credit risk
16:50 | Case Study | 35 min
Understand Key Macroeconomic Indicators And Their Influence On Credit Portfolios
- What is the influence of consumer sentiment on credit risk, particularly fluctuations in confidence levels affecting borrowing behavior, and repayment patterns?
- How can we ensure a sound granting process, to emphasize robust credit underwriting standards, and risk based pricing strategies to mitigate default risk?
- What is the best way to monitor and mitigate key operational and liquidity risk risks inherent in credit portfolios?
- How can financial products and pricing strategies be customized for clients?
Day 2
Alexandre Petrov
Executive Advisor, Risk Models
Michal Mesík
Financial Risk Manager
Andrea Cremonino
Head of Corporate Portfolio& Pricing Management Team)
Jérôme Henry
Principal Adviser - DG Macroprudential Policy and Financial Stability
Shankar Arora
Director, Corporate Credit, Citi Global Risk Head, Social Finance
Aymeric Chauve
Director - Financial Institutions Credit Risk Europe/UK at Societe Generale. Counterparty Credit Risk specialist
Dr. Elma Agic-Sabeta
Project manager, Capital & Risk Analytics
08:30 | Registration, Networking & Coffee
08:55 | Opening Remarks from the Chairperson
09:00 | Case Study | 40 min
PIT-TTC PD Frameworks For Credit Risk Classification Systems
- Introduction why banks need to have reconcilable PD values for IRB, IFRS9 stress testing, as well for different applications in the bank like RAROC, customer selection, pricing, etc
- The methodology for PIT-TTC PD modelling will be shown to address all above
- Practical examples of implementation for different case studies will be discussed
- The methods how to quantify Pitnes/cyclicality of PD models will be discussed
- Extensions of PIT TTC PD methodology in several research articles after PIT TTC methodology was published
09:40 | Case Study | 40 min
Risk Appetite As A Champion Of Risk Culture
- Describing the particularities of risk appetite framework at a multinational development bank
- Explaining why and how the process of defining risk appetite has promoted risk culture in the hindsight
- Weighing the trade-offs between narrowly vs widey defined risk appetite frameworks
- Discussing the links between risk appetite and contingency & recovery planning
11:00 | Coffee Break & Networking | 40 min
11:40 | Case Study | 40 min
Baselv IV Implementation For Banks: A Business Perspective
- Basel IV overview
- Impacts on banks
- How banks could get ready
- Taking a broader look
12:20 | Interactive Panel Discussion | 40 min
Counter Party Credit Risk & SA-CCR
- What learnings have we taken away and incorporated into future revised adaptations?
13:00 | Lunch Break | 1 hour
14:00 | Case Study | 35 min
Dealing With Unusual Risks
- Macro financial risks update
- Geopolitical risks – sources, channels and impacts
- The case for extreme scenarios
14:35 | Case Study | 35 min
SPONSORED AREA | TO BE ANNOUNCED
15:10 | Case Study | 35 min
Citi Social Finance - Expanding Access To Basic Services For Low-Income Segments
- Citi’s Social Finance Framework
- The role of impact investors
- Social Finance integration into ESG
- Key risk elements
- Case study
15:45 | Coffee Break & Networking | 30 min
16:15 | Case Study | 35 min
Making A Credit Decision For Wholesale Credit (Not Retail) Around The Following Steps
- Introduction/taxonomy
- Rating
- Transaction analysis
- Limits assessment
- Ancillary items
- A glimpse at counterparty credit risk
16:50 | Case Study | 35 min
Understand Key Macroeconomic Indicators And Their Influence On Credit Portfolios
- What is the influence of consumer sentiment on credit risk, particularly fluctuations in confidence levels affecting borrowing behavior, and repayment patterns?
- How can we ensure a sound granting process, to emphasize robust credit underwriting standards, and risk based pricing strategies to mitigate default risk?
- What is the best way to monitor and mitigate key operational and liquidity risk risks inherent in credit portfolios?
- How can financial products and pricing strategies be customized for clients?