marcus evans: Credit Risk Management, Modelling and Validation

The 11th Annual Credit Risk Management, Modelling and Validation aims to optimize credit risk management strategies in response to the evolving regulatory landscape and emerging trends in climate risk. Zanders will be participating this year, as well as presenting an in-depth case study, see the details below:

Topic: Unlocking New Possibilities for Credit Risk Models with High Performance Computing

Timing: Day 1 12:20

Speakers: John de Kroon and Steven van Haren

Highlights:

• Overcome existing challenges in credit risk models, such as interest-only and ESG, by looking at longer-term forecasts.
• Utilize simulation, scenario, and machine learning models to address emerging risks.
• Apply high-performance computing to leverage these techniques without prohibitive model runtimes or costs.

In addition, Martijn de Groot will moderate the panel Unravel the intricacies of final Basel III regulations by understanding key areas of change and implications for financial institutions, at 11:30 right before the case study:

• What are the key differences between the frameworks for banks using the Standard Approach and for those using IRB Approaches?
• What insights can be gained into Pillars 1 and 2 by testing the accuracy of assumptions and methods?
• What is the impact of final Basel III rules caused by limitations on IRB approaches, input and output floors for risk parameters and capital requirements, and new exposure classes in the standardised approach?
• How can capital efficiency and resilience be enhanced under Basel regulations?

For more details, visit the official conference page. See you there!