Satisfying the Regulator

• Has the crisis undermined further Basel II implementation?
• Will Basel III detract from best practice and e.g. robust Pillar II implementation

Prof. Dr. Kern Alexander
Centre for Financial Analysis and Policy, University of Cambridge

Corporate Bond Default Risk: A 150-year Perspective

• Structural changes such as bankruptcy reforms and industry composition have a major impact on default risk
• Long-term perspective on default risk puts recent crisis in context
• Default cycles are rarer and more persistent than business cycles
• Default frequency more closely linked to stock market than to macro-economy

Stephen Schaefer, Professor of Finance, London Business School

Bank Ratings: Lessons Learned from the Credit Crisis

• Government support assumptions
• Wholesale funding vulnerabilities
• Limitations of capital adequacy measures
• Weaknesses in financial reporting
• Failures in risk management
• Macro-economic and multi-disciplinary perspectives

Johannes Wassenberg
Managing Director, Banking EMEA
Moody’s Investors Service

Risk and Reward: Getting the right balance

• How to implement an effective pricing discipline at origination
• Pricing for hold-to-maturity exposures
• Managing the relationship between corporate origination and portfolio management

Gianluca Oricchio
Professor of Finance and Capital Markets, CBM University of Rome

Assessing Credit Risk of Private Firms in  Emerging Markets

• Developing a consistent and flexible approach to PD modeling worldwide
• Recent Advances in measuring credit risk in China, Russia and other countries
• Calibrating a PD to factor in the risk of the specific country

Doug Dwyer, Managing Director, Moody’s Analytics

Sound Practices in Managing Liquidity Risk

Panel discussion:
Simon Hills, Executive Director, British Bankers’ Association
Nicolas Kunghehian, Associate Director – Product Manager, Moody’s Analytics

Risk Appetite: Why does it matter?

• Reconciling internal capital and regulatory capital

Dr. Christian Thun
Senior Director, Moody’s Analytics

Pricing Liquidity

• An economic framework for pricing credit exposures with embedded options in the presence of uncertain funding costs
• Measurement of liquidity risk in a dynamic funding environment that accounts for linkages between funding costs and borrower characteristics
• Holistic decomposition of a spread into contingent liquidity, funding liquidity, credit risk, and option premium components

Yaki Tsaig, Associate Director, Moody’s Analytics

Stress Testing Scenarios and Models

• Designing sound risk scenarios
• Building models to translate stress scenarios into risk model inputs
• Software and platform needs

Nauman Ali Khan, Associate Director, ICAAP and Stress Testing, Royal Bank of Canada Capital Markets

Juan Licari, Director, Moody’s Analytics

Measuring Return on Credit Reviews

• Optimizing the credit review process
• Determining which loans to review and when
• What names to put on the watch list

Doug Dwyer, Managing Director, Moody’s Analytics

Credit Risk, Information and Market Perception

• Information-based asset pricing as a way of "quantifying" the notion of market perceptions
• How the market "filters" the available information to form "perceptions"
• Bond prices as risk-adjusted estimations.
• Information-based estimations for the volatilities of credit-risky bonds
• Informational approach to portfolio credit correlation
• Information-based models for credit derivatives and credit-sensitive structured products

Lane P Hughston, Chair in Mathematical Finance, Department of Mathematics, Imperial College London

Sovereign Risk Assessment

• Physical PDs in the form of CDS-implied EDF credit measures
• Alternative analytical approaches

David Hamilton, Senior Director, Moody’s Analytics

Anthony Thomas, Moody’s Investors Service

Risk Culture and Education

Panel Discussion
Liz Field, CEO, Financial Services Skills Council
Peter Yearley, Deputy Chief Credit Officer, Deutsche Bank
Alessandra Mongiardino, Head of Risk Strategy, HSBC Europe

Residential Mortgage Portfolio Risk Analytics

• Modeling credit risk in residential mortgage portfolios
• Value-at-Risk, capital allocation and tail-risk contribution for heterogeneous residential mortgage portfolios
• Simulating loss distributions on tranches of RMBS

Roger Stein, Group Managing Director
Moody’s Research Lab

PIT vs. TTC PD Measures and Metrics

• How are these measures defined, understood, and used  in banks
• What are the most common approaches to deriving  TTC PDs?
• What are their advantages and disadvantages?

Panel discussion:
Scott Aguais, Royal Bank of Scotland David Hamilton, Senior Director, Moody’s Analytics

Cocktail Reception

Risk and the City: Survival Strategy in the Black Swan World

• Why risk models fail
•  Moment of truth for Economic capital models
•  Risk management for the Black Swan world
•  Risk Appetite and stress testing

Evgueni Ivantsov, HSBC

Developing Internal Rating Models: Combining both quantitative and qualitative  measures

• Combining qualitative risk measures with a PD model in a scorecard
• Determining the Functional Form and Model Weights
• Validating the combination

Doug Dwyer, Managing Director
Moody’s Analytics

Riding the Tsunami

• Analysis, review and an impact of changes to Basle II
• What does it mean for Basle III?

Alain Laurin
Senior Vice President, Credit Policy Committee, Moody’s Investors Service

Practical Approach to Enterprise Risk and Performance Management

• Why aim at ERPM ?
• Removing the silos - systems and functions
• ERPM implementation in practice

Why Banks Fail: Two Decades of Empirical Evidence from Bank Failures Across the Globe

• Underestimating credit risk
• Concentration risk
• Asset risk vs liquidity risk

Jing Zhang, Managing Director
Moody’s Analytics

What has the liquidity crisis changed?

• Market practices
• Stress testing and liquid assets
• The impact on retail banking
• Funds transfer pricing as the solution?

Nicolas Kunghehian, Associate Director – Product Manager, Moody’s Analytics

Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance
Viral Acharya, Professor of Finance, Stern School of Business NYU;
Author, Restoring Financial Stability: How to repair a failed system

Converting EDF Performance into Practical Applications

• A look at how a firm has added value during the credit cycle by leveraging the information from EDFs

Lars Schmidt-Ott, Managing Director, Capital Efficiency Group

Omar Akkor, Director, Moody’s Analytics

Improving a Credit Portfolio: From theory to practice

• A practitioner’s approach to optimizing a credit portfolio
• New research on practical approaches to recommendations for investment and hedging
• Quantifying the costs and benefits of hedging credit risk

Alistair McLeod, Barclays Capital

Amnon Levy, Managing Director, Moody’s Analytics

Risk Management and the Board

• Responsibilities of the Board with regards to Risk Management
• What questions should the Board be asking about Risk Management
• How should Risk Managers communicate with the Board

Modeling Retail Credit: A forward looking approach

• Combining forward looking models with tools to capture the effects of the external environment and broad industry/ product trends

Andrew Mossford, Cooperative  Financial Services
Juan Licari, Director, Moody’s Analytics

Quantifying Credit  Risk of Commercial Real Estate Loans

• Latest default and loss severity trend of  commercial real estates 
• Enhancing CRE PD and LGD modeling through a combination of structural approach with empirical behavioral evidence
• Decomposing and measuring CRE asset volatilities, and its implications for credit risk modeling

Jing Zhang, Managing Director, Moody’s Analytics

Balance-sheet management through the crisis

• Risk dimensions of ALM
• Risk management tools and best practices in FTP
• Impacts and implications of the crisis and ensuing regulatory change

Robert Wyle, Moody’s Analytics

Have We Learned Our Lesson This Time?

• Review of lessons learned from the crisis and changes being implemented

Panel Discussion
Alexandros Benos, Director, Group Risk Control & Architecture, National Bank of Greece
Manuela Better, CEO/CRO Charles Balch, Deutsche Pfandbriefbank AG
Andrei Solomin, Global Head of Methodology, BNP Paribas Fortis

Navigating through the Crisis: A validation study of credit portfolio models

• Portfolio performance: How well did credit portfolio models perform in portfolio selection?
• Input selection: Which inputs should a portfolio manager choose to best describe portfolio risk?
• Relative importance: How important are each of the inputs in describing risk?

Amnon Levy, Managing Director, Moody’s Analytics

Energy Risk Analysis

• The drivers and evolution of  risk in the power sector
• The interaction of energy commodity price risks
• Carbon price formation and policy risk: effects on investment

Professor Derek Bunn, London Business School

Closing Reception

Session overview: In this session we will review and discuss current challenges in applying quantitative PDs to business decisions. More specifically:

• How do credit practitioners in different organizations use quantitative PDs?
• Overcoming challenges of applying PDs for business decisions
• Demo of new developments in RiskCalc and CreditEdge

Facilitator:
Mehna Raissi, Moody’s Analytics

Presenters:
Doug Dwyer, Managing Director, Moody’s Analytics

Join Moody’s Analytics team and risk practitioners in a discussion on current issues in portfolio management.  There will be a short presentation on each of the following topics, followed by a panel discussion on:

• How to compare regulatory and economic capital – the importance of a rich correlation model
• From credit portfolio management to capital management
• Managing liquidity risk in a portfolio setting

Facilitator:          
Omar Akkor, Senior Director, Moody’s Analytics

Panellists:
Mikael Nyberg, Head of Advisory Services, Moody’s Analytics  
Jing Zhang, Head of Moody’s KMV Research , Moody’s Analytics
Amnon Levy, Head of Portfolio Research, Moody’s Analytics

Session overview: In this session you will learn about the broad range of current and planned Moody’s Analytics software solutions, in particular credit assessment, loan origination and scenario analysis.

We will examine the interdependencies between these solutions and how they can be integrated to provide a more comprehensive view of your enterprise risk:

• The newest capabilities in RiskAnalyst, our spreading and dual risk rating platform, including new interaction with RiskCalc models.
• Our new RiskOrigins commercial loan origination platform offering workflow capabilities to combine quantitative credit measurement models and internal models with real-time pricing and limits checking at point of origination.
• Our new scenario analysis platform allowing to design scenarios across your entire institution

Presenters:
John Baer, Product Line Manager, Credit Assessment and Origination, Moody’s Analytics