Global

Credit Risk Management

in Banking & Financial Market
23th - 24th Nov 2023, Brussels

Who Should Attend?

Members of board, C-level, Senior Vice Presidents, Vice
Presidents, Directors, and Heads of departments from banking
industry involved in:
Some of Companies you will
meet..
Credit Risk Counterparty Credit
Credit Risk Analysis
Financial Counterparty Risk
Credit Risk Control Financial Institution Risk
Credit Risk Models
Credit Risk Review Framework and Model
Banco European
Funds Transfer Santander Cnetral Bank
Credit Risk Systems
IFRS9 Regulations
Credit Analysis
Credit Model Strategy Model Risk
Model Validation
Credit Officer Credit Research AIRB Modelling

Portfolio Models
Portfolio Strategy
Regulatory Strategy
Risk Appetite
Risk Cost Management
Risk Methodology
OP Financial Intesa
Risk Modelling Group Sanpaolo
Risk Validation Methodologies
Stress Testing

HOT CONFERENCE TOPICS

Credit Risk Management: Principles and Practices, Tools
and Techniques
The Value of Credit Risk Transformations and the Role of
AI

Vulnerability of banks to climate related credit risk

From one crisis to another : credit risk management in

asset finance

Major Challenges To Successful Credit Risk Management

Macroeconomic evironment, IFRS 9, uprading Basel III

to Basel IV
 Brief Overview

. The Value of Credit Risk Transformations and the Role of . Machine learning in credit risk models
AI
. Validation as a Service (VaaS)
. Credit Risk Management: Principles and Practices, Tools
and Techniques . Credit Risk Management under high economic uncertainty
. Risk Playbooks – a forward looking approach to credit risk
. From one crisis to another : credit risk management in asset
management
. Machine Learning & Artificial Intelligence: An Evolving finance
Model Risk Environment . Digitalization Path via. Credit Decision Instruments:
.
More effective and efficient banking supervision: how
. Fairness and Explainability in ML Applications
Augmented Intelligence can help
.
ESG in Financial Sector: Integration of ESG Factors in Risk . Big Data and Digitalization in Credit Risk
Management . Credit Risk of 2023: Seeking Alternatives in Times of
.
Talent and skills
. Uncertainty: What will the future bring for the credit risk
The friction between technology and Business
.
Challenges of IT & Data validation in light of emerging management?
regulatory expectations, especially on IRB and IFRS9 .
. Stress testing concepts for capturing and managing credit risk
The usage of data analytics from managerial to regulatory
. models trends
. Model Risk Quantification . The macrofinancial risk landscape and its possible impact on
. ESG: Main developments and risks
Interpretable Machine Learning for Credit Underwriting banks” comprised of:

SPEAKERS PANEL INCLUDE

Rita Gnutti Agus Sudjianto Nidhi Agarwal
Head of Model Risk
Executive Director Internal Executive Vice President, Head
Reporting into the CRO
Validation and Controls, Group of Corporate Model Risk
Chief Risk Officer area

Intesa Sanpaolo

Suresh Sankaran Boris Grabovickic

Jérôme Henry Head of Model Risk Head of Credit Risk
Governance Modelling
Principal Adviser - DG
Macroprudential Policy and
Financial Stability

European Cnetral Bank

Sanja Hukovic Andrea Buzzigoli
Shankar Arora Head of Model Risk Global Head of
Wholesale Economic
Global Risk Head, Citi Social Management
Response Analytics
Finance

Suneel Manda Ushnish Banerjee

Berislav Jozic Risk Manager Quantitative Audit (Model
Managing Director Risk Audit) - VP
Integrated Risk Management

Frederic Menninger Jens Jakob Rasmussen

Christian Schulthess Head of impairment model
VP Head of Model
CRO - Member of the Senior Management
development
Management
 DAY-1 Thursday, 23rd of November 2023

08:30 Registration, Networking & Coffee

08:55 Opening Remarks from the Chairperson
Risk Playbooks – a forward looking approach to credit risk
management
Sanja Hukovic
Head of Model Risk Risk Playbooks will play a crucial role to manage whatever environment we face
09:00 Management
going forward.
Playbooks originally emerged as a response to macroeconomic uncertainty and
CASE STUDY
45 min
are now fully integrated in the Credit Risk Strategy (ATOMiC) and in the Strategic
Commercial Plans (SCP)
Risk Playbooks – Key success factors

Jens Jakob Rasmussen Basel IV From a Business Perspective

09:45 VP Head of Model
Management
Basel IV overview: Main regulatory innovations and related Impacts on
Presentation banks: Mostly increase capital requirements
45 min How banks could get ready ... or just less unready
Taking a broader look: Figuring out changes in the market land scape

10:30 Coffee Break & Networking

30 min
Optimise current best practices for model inventory
11:00 management

45 min
sponsor slot Eassess the effect of the growing quantity and complexity of models has on
model inventories
Determine what new model types should be incorporated into the model
inventory
Establish a proactive documentation process

Interpretable Machine Learning for Credit Underwriting

Agus Sudjianto
11:45 Executive Vice President, Head of
The financial industry has rapidly adopted machine learning for various applications.
Large banks in the US are typically more cautious in adopting the methodology for
45 min Corporate Model Risk high risk and in regulated areas such as credit underwriting. Critical requirements for
applying ML models for credit underwriting include: explainability including adverse
action reason, model invariance under changing environment and fairness. In this talk,
I’m going to share our practical experience addressing the aforementioned
requirements:

Designing inherently interpretable machine learning model instead of utilizing post-

hoc explainability tools on black box models
Model constraints and adverse action reasons
Variable selection considering causality to improve model risk invariance
Fairness testing

12:30 LUNCH BREAK

1 hour

Optimise current best practices for model inventory

Jérôme Henry management
13:30 Principal Adviser - DG
Macroprudential Policy and New regulatory expectations with strong focus on data and IT topics
Financial Stability
INTERACTIVE
PANEL Challenges for Internal Validation: what’s next?
DISCUSSIONS European Cnetral Bank
30 min UniCredit’s case study: Internal Validation’s role evolution to meet the
new expectations

Sustainability model validation: ESG scoring uncertainty

Ushnish Banerjee
14:15 Quantitative Audit (Model
Risk Audit) - VP
Sustainability model validation: ESG scoring uncertainty
CASE STUDY How to interpret ESG scores without a standardised correlation across
35 min providers

15:00 Coffee Break & Networking

 Rita Gnutti
Executive Director Internal Machine learning in credit risk models
15:30 Validation and Controls, Group
Model validation framework for ML based credit risk models Enhance
Chief Risk Officer area
45 min II level credit and data quality controls using ML techniques
Intesa Sanpaolo

Credit Risk Management in Private Banking

Christian Schulthess
CRO - Member of the Senior
Lending trends considering rising interest levels.
16:15 Management
Financing needs across different markets.
45 min Digitalization of core Credit processes.

Panel Discussion
17:00
CASE STUDY
35 min

DAY-2 Friday, 24th of November 2023

08:30 Registration & Coffee

08:55 Opening Remarks from the Chairperson

ESG: Main developments and risks

Climate change vs credit risks

09:00 Social Finance: Emerging risks in the “S” within “ESG”
CASE STUDY Shankar Arora
Climate change vs credit risks Social Finance:
45 min Global Risk Head, Citi Social Emerging risks in the “S” within “ESG”
Finance Citi Social Finance works across Citi's institutional businesses globally to develop
innovative and scalable Social financing platforms and solutions that enable the
bank,
its clients and partners to expand financial inclusion within low income
communities in
emerging markets

Nidhi Agarwal Model risk as a critical element of overall risk management

09:45 Head of Model Risk
Reporting into the CRO
CASE STUDY
35 min

10:30 Coffee Break & Networking

30 min

Credit Risk Management under high economic uncertainty

Berislav Jozic
Managing Director Risk Forecasting accuracy, budgeting and steering
Integrated Risk Management
Credit risk models performance, ECL post-model overlays and their plausibility
11:00 SREP, Stress testing and recovery planning in the volatile environment Regulatory
CASE STUDY framework adapting to the new environment
45 min
 Digital Credit decision Process
Frederic Menninger
11:45 Head of impairment model
development Organization impact due to transition to Digital Lending Process (Digital
CASE STUDY credit decision process, Credit decision models, Rating rules, Credit
45 min exposure models, Portfolio granularity and diversification rules, Pre-
approved automatic decision, Credit lending decision engine)

12:30
1 hour
LUNCH BREAK

ESG integration and model risk quantification

Boris Grabovickic
13:30 Head of Credit Risk
Modelling ESG in Financial Sector: Integration of ESG Factors
CASE STUDY Model Risk Quantification
45 min

Suneel Manda ML Ops for Model Risk Management

Risk Manager
14:15 Taking a technology-led approach to model risk management
CASE STUDY Shortening the feedback loop between model development and validation
45 min Approaches for delivering and operating models safely at scale

15:00 Coffee Break & Networking

30 min

Identify the practical implications of emerging AI regulations

Dimitra Manta for financial institutions
15:30 MD, Model Risk &
Quantitative Analysis
Ascertain how recent AI and machine learning regulations differ from or build
CASE STUDY
upon existing expectations
45 min
Clarify the definitions of key terminology as used in these regulatory proposals
Determine the timeline of guidance becoming mandatory

16:15 Suresh Sankaran Stress testing concepts for capturing and managing credit risk
Head of Model Risk trends
CASE STUDY Governance
45 min Develop best practices to incorporate macroeconomic factors into stress testing
Simulate pandemics and other tail risks within forecasting models.
Usage of simulative methods and stress testing on Credit Risk limitation
Integrate stress testing into a holistic credit risk framework

Interactive Panel Discussion

17:00 In this session, the audience has an opportunity to ask questions and
have an open interactive discussion with the panellists.
INTERACTIVE
PANEL
DISCUSSION The macrofinancial risk landscape and its possible impact
30 min
on banks” comprised of:
Corona legacy and war implications for the macrofinancial sphere
A new environment triggered by high inflation
Possible risk scenarios and implications for banks

17:30 Closing Remarks from the Chairperson

 Registration Form
Global Credit Risk Management in Banking & Financial Market
23th - 24th Nov 2023, Brussels

RSM-0241
(per pass) = 2990 EUROS
= 2399 EUROS
= 3990 EUROS
E-mail:
Group Discount 3+ (per pass) = 1999 EUROS

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