• Lessons learned
• How did these events change bank behavior and risk management practices
• How did internal/external models cope
• Potential competitive impact of TARP allocations

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

• Assessing PDs and LGDs at the loan/property level
• Stress testing CRE
• Meeting and exceeding regulatory requirements

Roundtable Discussion
Matt Kasindorf, Meister Seelig & Fein LLP
Tom Geurts, NYU
Perry Mehta, Moody's Analytics
Robin Mora, Spirit Finance
Moderator: Stephen Peca, Moody’s Analytics

• Designing an effective limit setting program: art, science, or both?
• Implementing limits within an organizational context
• Various approaches to limit setting

Matthieu Royer, Calyon
Jim Heitmann, Moody’s Analytics

• The recent risk trend of middle market borrowers
• How Loss Given Default (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
 

• Characteristic risk drivers of FIs relative to C&I lending
• One size does not fit all: broker-dealers vs. banks vs. asset managers
• Long-term credit relationships vs. short-term counterparty exposures

Soner Tunay, State Street
Mas Kakutani, Moody’s Analytics

• 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

Michael Fadil, SunTrust
Jing Zhang, Moody’s Analytics
 

• 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

Nihil Patel, Moody’s Analytics
Yashan Wang, Moody’s Analytics

• Risk Culture and Philosophy
• Role of ERM in the Organization
• ERM Responses to the Crisis
• Changing Regulatory Environment
• Best Practices in Quantitative Modelling
• Need for Holistic Risk Management — Both Top-Down and Bottom-Up

Lori Evangel, Metlife

• Factor/variable analysis in developing rating scorecards: How many and which type of inputs are appropriate?
• Operational issues related to the deployment of scorecards: Changes to an organization's credit policy and culture
• Validation and Calibration of scorecards from a business perspective:  What to look out for, what to fear, when (not) to be enthusiastic
• LGD scorecards: an example of an application to SMEs

Alexandros Benos, National Bank of Greece
Moderator: Marc Brammer, 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

David Munves, Moody’s Analytics
Shisheng Qu, Moody’s Analytics

• Key risk drivers including demand elasticity, government regulation
• Segmentation of the Ag sector within your portfolio
• Myth busters: Not all scorecards are the same

Curt Covington, Bank of the West

• The dynamic nature of credit risk
• Accounting for Portfolio effects: they are real and make a difference
• Moving from portfolio risk reporting to active management of portfolio risk

David Rhee, KeyBank
Vanessa Wu, 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

Jun Chen, Moody’s Analytics
 

• Sound practices in assessment of collateral and waterfalls
• New Accounting Treatments
  Expectations for Regulatory Changes

Wallace Enman, Moody’s Investors Service
Luis Amador, Moody’s Analytics
Moderator: Anna Krayn, Moody’s Analytics

 

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

Mikael Nyberg, Moody’s Analytics

Measuring Credit Line Usage and Exposure at Default

• Commercial and Consumer EAD research round-up
• Credit line utilization in commercial and consumer portfolios
• The Challenges of modeling Loan Equivalent Factor (LEQ)

Mircea Pigli, Fifth-Third Bank
Jing Zhang, Moody’s Analytics
 

• How to reliably estimate credit quality
• LGD parameterization
• Case study and valuation impact of changes in LGD and PD estimates
• PD parameterization: Risk-neutral versus Physical PDs

Ozgur Kan, Moody’s Analytics
David Kurnov, Moody’s Analytics
 

• Manage through contradictory credit opinions and inconsistent data
• Incorporate many sources of credit-related information into a single, cohesive view for management reporting

Bob Dutcher, Moody’s Analytics
Sanjay Sharma, RBC Capital Markets
 

• The dynamic relationship between interest rate and credit risk
• How to integrate different types (credit, market, operational etc) of risk

Yashan Wang, Moody’s Analytics
Amnon Levy, Moody’s Analytics

• Designing meaningful stress scenarios, including intuitive specification, forecasting accuracy, and internal consistency
  
• Effect of stresses on internal ratings and quantitative metrics, such as PDs and LGDs
  
• Evidence from illustrative scorecards utilizing Moody's databases
 

Tony Hughes, Moody’s Analytics
Perry Mehta, Moody’s Analytics
Jun Zheng, Moody’s Analytics
 

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.

Marcia Banks, IACPM
Amnon Levy, Moody’s Analytics
David Rhee, Moody’s Analytics
Vanessa Wu, Moody’s Analytics
Moderator: Jing Zhang, 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

Frederic Anthony, Union Bank
Paul Butler, Citizens Bank
Kamal Panda, Wells Fargo
John Baer, Moody’s Analytics
Anuj Gupta, 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.

Alain Maure, Moody’s Analytics
Xavier Pernot, 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
 

• Benefits of an Enterprise Risk Platform
• How GEM and RAPM help institutions monitor their exposures and improve business performance

Olivier Brucker, Moody’s Analytics
Alain Maure, Moody’s Analytics