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Agenda subject to change
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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
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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
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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
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12:00 - 1:00 PM |
LUNCH |
LUNCH |
LUNCH |
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
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Client Case study
- Credit risk and ratings in structured finance: Lessons we are
learning and related challenges
Roberto Violi, Central Bank of Italy
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Using External Credit Measures within an Internal Rating Framework
- Role of EDFs in RSU’s Corporates module
Volker Kintrup, RSU
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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
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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
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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
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3:00 – 3:30 PM |
BREAK |
BREAK |
BREAK |
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
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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
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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
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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
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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
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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
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7 :00 PM
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Cocktail Reception
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8:00 PM
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Gala Dinner
Keynote Address: Sir Brian Pitman, Former Chairman of Lloyds
TSB Group Plc
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Day Three: Wednesday, November
4 |
7:00–8:30 AM
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Breakfast
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8:30–9:00 AM
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Opening speaker: Geoff Fite, Chief Operating Officer, Moody’s
Analytics
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9:00–9:45 |
Keynote Address:
Aaa Government Debts at Risk - a Long Term View
Pierre Cailleteau, Managing Director, Sovereign Risk Group,
Moody’s Investor Services |
9:45–10:00 AM
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Break
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10:00–12:00 PM
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Stream Sessions (continued)
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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
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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
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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
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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
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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
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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
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12:00 – 1:00 PM |
LUNCH |
LUNCH |
LUNCH |
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
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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
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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
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3:00 – 3:30 PM |
BREAK |
BREAK |
BREAK |
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
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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
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- How GEM helps institutions monitor their exposures and improve
business performance
Olivier Brucker, Moody’s Analytics
Victor Pinto, Moody’s Analytics
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6:00–8:00pm
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Closing Reception
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