conferences

Are you IFRS9 Ready?

Vienna, Austria

24th – 25th November 2016

4th Edition

Credit Risk Modelling under IFRS 9Overcome advanced modelling challenges as well as backtesting and governance for credit risk models after IFRS9

Interactive Conference Workshop on 24th November 2016Determining how to validate models under IFRS9 for successful implementation

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Attending this Premier marcus evans Conference will Enable you to•Manage the impact of discrepancies between Basel

and IFRS9 models, plus the impact on capital•Obtain practical insight into how other firms are dealing

with lifetime expected loss modelling•Learn how to validate and backtest for IFRS9 credit risk model• Integrate an effective strategy for incorporating stress testing

without being too conservative•Embed appropriate governance and documentation

for the model change process

Learn from Key Practical Case Studies•UBS discuss the complexities of modeling challenges through

contrasting qualitative and quantitative factors and their efficiency in aiding the implementation of IFRS 9

•Länsförsäkringar offer an in-depth understanding of the governance and documentation process of IFRS 9 by developing effective methodologies and optimising data

•UniCredit talk about the challenges of successfully incorporating IFRS 9 by addressing the issues with Basel III and

•NIBC Bank discuss their approach on leveraging IRB and stress test frameworks in order to implement IFRS 9 whilst addressing the key challenges along the way

Speakers IncludeWolfgang ReitgruberVice President-Group Credit Risk Modelling UniCredit Diana Kapsa Head of Credit Methodology-Retail UBS AGRik Van De WeerthofHead of Credit RiskNationale‑NederlandenLouise LindgrenChief Risk OfficerLänsförsäkringar BankHannes KaziankaSenior ExaminerOesterreichische NationalbankMichael PerrieHead of Model ValidationInvestec Oliver FialaHead of Group Credit RiskVolksbankMikhail PorskovHead of IFRSMoscow Credit BankDavid Tysk Director of Credit RiskLandsbankinn

Doriana IovinoDirector of Credit Risk and Analytics Metro BankJoris Van VelsenHead of Credit Risk Stress Test and Provision ModellingABN AMROPatrick GovaertsIFRS 9 Modelling-Project LeaderKBC BankLisbeth Alainentalo Chief Risk Officer Skandiabanken Davorin OkornHead of Risk Management KBS Banka d.d.Dimitar Mechev Vice President-Risk Management NIBC BankAlejandro Garcia‑MonterdeVice President-Head of Business Banking Credit RiskEmirates IslamicAdam ZiarkiewiczHead of Impairment Provisions and Portfolio AnalysisBank Pocztowy SA

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08.30 Registration and Coffee

09.00 Opening Comments from the Chair

DIFFERENTIATING BETWEEN IFRS 9 AND THE EXISTING BASEL MODELS

PANEL DISCuSSION

09.10 Comparing and contrasting between IFRS 9 and the Basel models •DiscussthedifferentmethodsofusingPDandLGDmodels:

Account for the gaps•Comprehenddivergingtimemethods:12months

versus lifetime•UnderstandthedifferencesinregulatoryapproachesPanelistsRik Van De Weerthof Head of Credit Risk Nationale‑Nederlanden

Lisbeth Alainentalo Chief Risk Officer Skandiabanken

Joris Van VelsenHead of Credit Risk Stress Test and Provision ModellingABN AMROAlejandro Garcia‑MonterdeVice President-Head of Business Banking Credit RiskEmirates Islamic Adam ZiarkiewiczHead of Impairment Provisions and Portfolio AnalysisBank Pocztowy SA

09.55 A grand future for IFRS 9: Reporting a lifetime •Understandhowtomeasureandcalculateexpectedcreditloss•Collatethecorrectdata:Ensureyouareinaccordance

with IFRS 9 guidelines•LeavebehindtheBaselsupercycleandlooktoabrighter

distant future•Remainpositiveforanymacroeconomiccircumstancethatmay

impact IFRS 9Doriana IovinoDirector of Credit Risk and Analytics Metro Bank

10.40 An excellent opportunity to speak directly with your peers and network effectively. Exchange your views and business cards.

10.55

11.10 Drawing important comparisons: PD and LGD under both regulations•UnderstandthedifferencesofusingPDandLGDunder

Basel and IFRS 9•Thetimehorizon:Howdotheexpectationsdifferunder

both regulations? •OvercomethemodellinggapsinbothIFRS9andBaselOliver FialaHead of Group Credit RiskVolksbank

11.55 Lessons Learned from IRB for IFRS 9 from a Regulatory Point of View•DifferencesbetweenIRBandIFRS9modellingand

expectations taken over from IRB models for IFRS 9 models•Discussionoftheimportanceandingredientsofarigorous

validation process•TheimpactoftheBaselIRBreformandPDestimation

in LDP modelsHannes KaziankaSenior ExaminerOesterreichische Nationalbank

12.40 Lunch

14.00 Case StudyLeveraging existing frameworks •Whatarethenewrequirementsandarethesebeingmet?•OptimiseyourexistingmodelsandrenovatetheseforIFRS9

modelling success•Understandtheimportanceandsignificanceofstresstesting

within the guidelines of IFRS 9Dimitar MechevVice President-Risk ManagementNIBC Bank

THE COMPLEX DETAILS OF THE MODELLING CHALLENGES OCCuRING MADE EASY

14.45 Case Study Recalibrating existing model components•Understandwhatmodellingcomponentsneedtobeleveraged

and changed to meet new requirements•Howdomodelsdifferfromexistingstandards?• Implementingthechangesposedbymodelling

structures for success Rik Van De WeerthofHead of Credit RiskNationale‑Nederlanden

15.30

16.00 Quantitative versus qualitative: Is it time to focus more on the qualitative factors?•Considertheapproachorfeelingatwhichsystemsarebuilt• Incorporatequantitativefactorstosuitthequalitativefactors:

understand the definitions from the interpretations•Overcomethemodellingchallengesbyobservingtheimpact

of qualitative factorsDiana Kapsa Head of Credit Methodology-Retail UBS AG

16.45 Closing Comments from the Chair

16.50 End of Conference

Day One

24th November 2016

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Who Should AttendFrom Banks and Insurers:Heads of: • CreditRiskModelling• IFRS9• Finance

08.30 Registration and Coffee

09.00 Opening Comments from the Chair

09.10 Consistency of IFRS 9 Requirements with Basel III•ChallengesinCreditRiskSteering• IFRS9andBaselmodels:Convergenceordivergence?• IntroductionofImpactRisk•CalibrationofIFRS9ImpairmentWolfgang ReitgruberVice President-Group Credit Risk ModellingUniCredit

AGLASSHALFFULLORHALFEMPTY:CONSERVATISMAND STRESS TESTING

PANEL DISCuSSION

09.55 The third option: Stress Testing• ImplementstressteststhewayIFRS9requiresit,

with all the information•AdaptstresstestmodelsforIFRS9•Leveragetheinformationfromstresstestsandadaptthis

into your methodology•Remainawarethatstresstestingshouldbeincorporated

alongside other more positive tests tooPanelistsOliver FialaHead of Group Credit RiskVolksbankLisbeth AlainentaloChief Risk OfficerSkandiabankenMikhail PorskovHead of IFRSMoscow Credit Bank

10.40

AMULTIFACETEDTASK:VALIDATINGMODELS

11.10 Dataduties:Ensureyouhaveenoughofthecorrectdata•Relyoninternaldataandensureitisrecordedcorrectly•Considertheoptionofsharingdatawithotherbanksand

benchmark with fewer banks•Haveinternalandexternalreviewstoensurethatdataalso

has a governance structure in place •Enablingbankswithlessreadilyaccessibledatato

understand the importance of their available dataDavorin OkornHead of Risk ManagementKBS Banka d.d.

11.55 The best way to validate IFRS 9 models•Understandthebestwaytovalidatemodelsbyhaving

a base for comparison before the 2018 deadline•Validatemodelsbyhavingthecorrectmacroeconomic

expectations in place•Practisewithvariousotherplatformsandhaveanoutcomes

based frameworkMichael PerrieHead of Model ValidationInvestec

12.40 Lunch

14.00 Case StudyTransitioning from one bucket to the next•Define“staging”andunderstandthateachmodelcriteria

is different according to the investment grade and credit quality threshold

•Overcomethedifficultprocessoftransitioningfromstage 1 to stage 2

•UnderstandthecharacteristicsofeachstageDavid TyskDirector of Credit RiskLandsbankinn

GOVERNANCEANDDOCUMENTATION:FORMINGEFFECTIVEAND INTEGRATED PROCESSES FOR THE FuTuRE OF IFRS 9

PANEL DISCuSSION

14.45 Embedding new layers of governance•Liaiseandunderstandtheroleoftheprojectmanager

to oversee the work stream and enable them to embed IFRS 9 within the bank

•Usequalitativefactorstounderstandifyouhavemadethe correct decision for governance implementation

•Createanadditionalteamthatcommunicatestomanagementwithin the department to overcome certain challenges

PanelistsLouise LindgrenChief Risk OfficerLänsförsäkringar BankAlejandro Garcia‑ MonterdeVice President- Head of Business Banking Credit RiskEmirates Islamic

15.30

16.00 Solid Relationships: Solid Documentation•Synergiesbetweenfinancialauditandcreditrisk

audit departments•Developamethodologyfordocumentationandcentralise

this process• Isthereanoverridebetweenhowyouauditmethodsversus

how information works for financial figures?Louise LindgrenChief Risk OfficerLänsförsäkringar Bank

16.45 Closing Comments from the Chair

16.50 End of Conference

Day Two

25th November 2016

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08.30 Registration and Coffee

09.00 Workshop Leader’s Introduction and Opening Remarks

09.10 Determining how to validate models under IFRS9 for successful implementation•Understandthenewimpairmentrulesandhowtheywill

impact expected credit loss models•Collaborationbetweendepartments(includingfinance,

risk and IT) is key for successful IFRS9 implementation•SteppingawayfromoldmodelslikeIRBandincurred

loss models

12.25 Closing Remarks from the Workshop Leader

12.30 End of Workshop

Determining how to validate models under IFRS 9 for successful implementation

24th November 2016

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