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Agenda subject to change
Day One:  Monday, November 2
4:00 PM Registration
6:00 PM Welcome Reception & Dinner


Day Two: Tuesday, November 3
8:30–9:15 AM Breakfast and Registration
9:15–10:30 AM Plenary Session
Opening Address: Geoff Fite, Chief Operating Officer, Moody’s Analytics
Keynote Address: Towards the Next Generation Global Financial System
Keynote Speaker: Jack Malvey, Former Head of Global Fixed Income Strategy at Lehman Bros
10:30–11:00 AM Break
11:00–5:30 PM Stream Sessions (see table below)


Stream Practical Application of Risk Management Valuation and Credit Risk Modeling Analyzing Asset Classes
11:00 - 12:00 PM Reflections on Credit Risk Management During the Crisis
  • Lessons learned
  • How did these events change bank behavior and risk management practices
  • How did internal/external models cope

Panel Discussion

Andrei Solomin, BNP Paribas Fortis
Nada Rizkallah, Credit Libanais
Franco De Giuseppe, Intesa Sanpaolo
Luigi Ruggerone, Intesa Sanpaolo

Trade-off Between Accuracy and Stability in Credit Risk Measurement
  • Assessing the trade-off
  • How to smooth credit risk measurement
    Empirical behavior

David Hamilton, Moody’s Analytics
Jing Zhang, Moody’s Analytics

Commercial Real Estate: Best practices and Regulatory Compliance
  • Assessing PDs and LGDs at the loan/property level
  • Stress testing CRE
  • Meeting and exceeding regulatory requirements
  • Benny Chiprut, Israel Discount Bank
    Christian Thun, Moody’s Analytics

1:00 – 2:00 PM Importance of Exposure Monitoring and Limit Setting
  • Effects of Lehman’s, how long did it take your bank to understand the total exposure
    Various approaches to exposure/limit management
  • How stable/dynamic should limits be? Should they change through the credit cycle?

Andreas Bene, RZB Group
Gil Guillaumey, Fermat

Client Case study
  • Credit risk and ratings in structured finance: Lessons we are learning and related challenges

Roberto Violi, Central Bank of Italy
Using External Credit Measures within an Internal Rating Framework
  • Role of EDFs in RSU’s Corporates module

Volker Kintrup, RSU
2:00 – 3:00 PM Loss Provisioning and Economic Capital: TTC or PIT View
  • What views, Point-in-Time or Through-the-Cycle should a bank take, and for what purposes (capital deployment, pricing models, strategic planning, other?
  • Using dual credit measures
  • How to construct these measures and their implications
  • Does PIT further exacerbate the bank’s woes – is Basel II pro-cyclical?
  • Current thinking and developments

Jing Zhang, Moody’s Analytics
Charles Stewart, Moody’s Analytics

Assessing Default Risk and Recovery Risk in the Current Crisis
  • The recent risk trend of middle market borrowers
    Using both internal ratings and external quantitative PDs
  • How LGD values differ from the past
    The challenges in modeling LGD during the current crisis
  • Incorporating correlation between PD and LGD in a portfolio setting.

Doug Dwyer, Moody’s Analytics
Amnon Levy, Moody’s Analytics

Macro-Prudential Risk Indicators and Framework
  • Firm, Sector and Market Level Risks
  • Choosing Metrics that have Thresholds & Intervention Points
  • Metrics that do not work very well and why
  • Micro v Macro Risk Monitoring & Regulation
  • Using these tools to Understand the Current Credit Crunch

Walker Sigismund, Financial Services Authority

3:30 – 4:30 PM Best Practices in Solvency II
  • What is Solvency 2 & comparison to Basel II
    Challenges of implementing Solvency 2 in an insurance company
  • What modeling, infrastructure and processes are required
  • Other benefits of regulation

Jean Francois Decroocq, Euler Hermes
Christophe Burckbuchler, Moody’s Analytics

Using Information from Equity and CDS Markets to Assess Credit Risk
  • Inferring probability of default and its term structures from CDS spreads
  • How to effectively use both equity based EDF and CDS implied EDF for credit risk monitoring, economic capital calculation and portfolio management
  • Interpreting risk signals from the CDS market

Doug Dwyer, Moody’s Analytics
David Munves, Moody’s Analytics

Model Development and Validation in Low-Default Portfolios
  • Improving model performance in the absence of default data
  • Leveraging best practices and credit risk knowledge in the optimization process
  • Enhancing risk metrics and model discriminatory powers between obligors

Richard La Rock, Moody’s Analytics

4:30 – 5:30 PM Managing Liquidity Risk
  • Regulatory requirements
  • Liquidity turmoil and it’s credit implications
  • How do you measure liquidity risk, key risk indicators
  • How Liquity Risk combines with other risk types
  • Liquidity Risk Management implementation

Alain Maure, Moody’s Analytics

Advances in Modeling of PD and LGD of CRE Loans
  • The latest research on both systematic and idiosyncratic property performance tail risks
  • Propose a flexible modeling approach that captures financial triggers as well as sub-optimal default behaviors
  • How the enhanced PD and LGD models can be used to provide unconditional ex-ante estimates and conditional scenario analysis of CRE loans

Jing Zhang, Moody’s Analytics

Securitization: Valuation and Risk Assessment
  • Sound practices for estimating risk and value in securitization tranches given current lack of liquidity in the marketplace
  • Given certain stressed scenarios

Oliver Fochler, Moody’s Analytics


7 :00 PM

Cocktail Reception

8:00 PM

Gala Dinner
Keynote Address: Sir Brian Pitman, Former Chairman of Lloyds TSB Group Plc


Day Three: Wednesday, November 4

7:00–8:30  AM


8:30–9:00 AM

Opening speaker: Geoff Fite, Chief Operating Officer, Moodys Analytics

9:00–9:45 Keynote Address: Aaa Government Debts at Risk - a Long Term View
Pierre Cailleteau, Managing Director, Sovereign Risk Group, Moodys Investor Services

9:45–10:00 AM


10:00–12:00 PM

Stream Sessions (continued)


Stream Practical Applications of Risk Management Valuation and Credit Risk Modeling Analyzing Asset Classes
10:00 – 11:00 PM Economic Stress-Testing
  • Link macro-economic scenarios to economic capital
  • Understand changes in portfolio loss distributions and capital concentrations

Mikael Nyberg, Moody’s Analytics
Risk Integration: Towards An Integrated and Holistic View of Risk
  • The dynamic relationship between interest rate and credit risk
  • How to integrate different types (credit, market, operational etc) of risk

Amnon Levy, Moody’s Analytics

Practical implementation of the structural LGD model
  • Why Loss Given Default is important
  • Different ways of looking at LGD and modeling it
  • Structural LGD model, relationship between defaults and LGD
  • Model assumptions and real data

Andrei Solomin, BNP Paribas Fortis

11:00 – 12:00 PM Combining Internal and External Rating Data
  • Mapping short term series to long term external default rates
  • Benchmarking rating rankings and risk levels
  • Benchmarking stress test migration severities with long term rating agency data
  • Macro-economic stress testing

Tony Van Gestel, Dexia

Modeling Exposure to Small and Medium Sized Entities (SMEs) in a Credit Portfolio Setting
  • An analysis of credit migration: How do SME migration patterns differ from public firms and what are the implications on risk and return?
  • SME correlations: An analysis of US and European correlations estimated using the Moody's KMV Credit Research Database

Amnon Levy, Moody’s Analytics
Jing Zhang, Moody’s Analytics

Risk Management in Banking Institutions: an Enabling Function vs Compliance

Anushka Ramlall

African Development Bank Capital Adequacy and Exposure Management Policy

Patrick Kei-Boguinard, African Development Bank

Product Workshops Portfolio Management - RiskFrontier Loan Origination - RiskAnalyst/RiskCalc Asset and Liability Management
1:00 – 3:00 PM Join us in a panel discussion with Moody's Analytics and our Portfolio Management clients.

Topics may include, but not limited to:

  • Trends in Enterprise Risk Management
  • Common Practice on Stress Testing and Scenario Analysis
  • Limit Setting for Managing your Portfolio
  • Importance of Valuation in the Current Market

Click here to suggest additional topics.

Andrea Violante, Intesa
Vanessa Wu, Moody’s Analytics
Amnon Levy, Moody’s Analytics
Mikael Nyberg, Moody’s Analytics
Moderator: Charles Stewart,
    Moody’s Analytics

Workflow of a credit transaction from prospecting, to underwriting, to monitoring.
  • Current clients and experts from Moody’s Analytics will discuss loan origination practices including workflow, underwriting, internal ratings, and monitoring of exposures
  • Demonstration of Moody’s Analytics’ upcoming RiskAnalyst workflow module release

John Baer, Moody’s Analytics
Doug Dwyer, Moody’s Analytics
David Jones, Moody’s Analytics

This session will be lead by a Moody’s Analytics ALM expert and will include ample opportunities for attendee participation and questions.
  • Fermat ALM: learn about the benefits of balance-sheet risk diversity monitoring using dynamic or stochastic modeling.
  • Fermat FTP: learn how you can accurately evaluate business line or retail network profitability.
  • Fermat ALM | Liquidity Risk: a special focus on how to meet the new Financial Services Authority (FSA) liquidity reporting and stress-testing requirements.
  • Fermat RAPM: how Risk Adjusted Performance Management (RAPM) helps institutions improve business performance


Nicolas Kunghehian, Moody’s Analytics
Xavier Pernot, Moody’s Analytics
Victor Pinto, Moody’s Analytics

Product Workshops Regulatory Compliance: Fermat Basel II & Solvency II Alternative Approaches to Credit Risk Analysis: Moody’s Ratings, EDFs, and Market Implied Ratings Performance Management & Monitoring: Fermat Global Exposure Monitoring (GEM) and Risk Adjusted Performance Management (RAPM )
3:30 – 5:30 PM
  • Basel II status worldwide, update on upcoming regulatory changes, how big institutions comply with various supervisor/country regulatory requirements using Fermat CAD
  • Lessons learned from Basel II for insurers starting their Solvency II project

Pierre-Etienne Chabanel,
    Moody’s Analytics
Christophe Burckbuchler,
    Moody’s Analytics
Gil Guillaumey, Moody’s Analytics

Roundtable Discussion
  • Comparison of modeled equity and credit market signals to share prices and credit market spreads
  • Revisiting the accuracy vs. stability trade-off; uses of agency ratings vs. markets-based metrics
  • Combining quantitative signals with qualitative analysis of sectors and borrowers
  • Adjusting market signals for systemic risk

David Munves, Moody’s Analytics
David Hamilton, Moody’s Analytics

  • How GEM helps institutions monitor their exposures and improve business performance

Olivier Brucker, Moody’s Analytics
Victor Pinto, Moody’s Analytics



Closing Reception