• 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
 

• Assessing the trade-off
• How to smooth credit risk measurement
  Empirical behavior

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

• 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

• 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
 

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

• Role of EDFs in RSU’s Corporates module
  
   

• 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
 

• 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

• 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

• 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
 

• 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

• 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

• 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
 

• 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
 

• 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
 

• Link macro-economic scenarios to economic capital
• Understand changes in portfolio loss distributions and capital concentrations
  
  

• 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
 

• 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
 

• 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
 

• 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
 

Anushka Ramlall

Patrick Kei-Boguinard, African Development Bank

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
 

• 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

• 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
 

• 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

• 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