Bank Risk and Finance Forum – New Challenges in a Post-IFRS 9 Era
Instituto de Formação Bancária (IFB) and Moody´s Analytics (MA) are pleased to invite to a full day session to explore the challenges banks will face in a post-IFRS 9 era.
Top management and Mid management. IT, Retail, Digital Channels, Product Development, Lending, Risk, Strategy, Marketing, Sales, Branch Network, Social Media, SME, Asset/Wealth Management, Back Office, Innovation.
9:30 Welcome and Opening Remarks
António Neto da Silva, CEO,
Instituto Formação Bancária
Moody’s Analytics Representative
9:45 ECB’s Targeted Review
of Internal Models (TRIM)
This session considers the fundamental changes introduced by the ECB’s TRIM for Model Risk Management and what lies ahead for SSM Banks, with specific regard to Credit Risk Models. We will discuss:
- Public consultation on the ECB’s TRIM general topics
- Governance Framework and Lifecycle Management
- Model Validation and Ongoing Monitoring
- Data quality and IT processes
- Internal Model Development and Risk Management in the “post-TRIM” era
The aim is to provide Moody’s Analytics practical insight, based on our direct experience working with Banks under TRIM and regulatory best practices.
David Gonçalves, Director, Moody’s Analytics
Marta Cerina, Director, Moody’s Analytics
10:45 11.00 Coffee break
11:00 IFRS 9 Validation
Post IFRS 9 implementation deadlines, this session will consider key challenges and best practices for the Validation of IFRS 9 frameworks including:
- Validating and enhancing recent implementations – Wholesale and Retail Portfolio
- Data and Governance
- Stage Allocation
- Macro-Economic Forecasts
- Managing earnings and capital volatility
The aim of the session is to shed light on the annual IFRS 9 Validation framework, as well as interdependencies with other validation frameworks e.g. IRB, and integrated financial resource management.
Nadja Roos, Director, Moody’s Analytics
Brenda Solis, Associate Director, Moody’s Analytics
12:00 Moody’s Data Alliance:
Share Data, Gain Insight, Take Action
During this session we will introduce the Moody’s Analytics Data Alliance, share insights from the data we have collected and explore how participants can take action to improve their internal models and manage their risk profile.
Jamie Stark, Director, Moody’s Analytics
12:30 Financial Resource Management
This session extends some of the themes covered in the previous session, into a more detailed view on the linkages between:
- Key credit risk metrics
- Regulatory balance sheet
- Accounting balance sheet
- Capital planning and pricing
The aim is to provide insights into the interdependencies, beneﬁts and challenges of an integrated ﬁnancial resource management.
Antonios Kastanas, Director, Moody’s Analytics
13:00 Lunch (free)
14:00 Breakout Sessions
(round tables with 30 minutes rotation)
- 1st Stream: Retail Scorecard development/validation/recalibration
- 2nd Stream TRIM: MRM and Governance Collaborative Analytical Platform
- 3rd Stream: Capital Planning, a practical exercise
- 4th Stream: Data Alliance Moody’s Data Consortia
16:30 Closing Remarks
António Neto da Silva, CEO,
Instituto Formação Bancária
Moody’s Analytics Representative
NADJA ROOS, DIRECTOR
Nadja is a Director in our Enterprise Risk Solutions team with a background in designing and implementing target operating models and governance frameworks as well as regulatory advisory. Nadja has been involved in a number of consulting projects including the design of a Stress Testing Governance framework for a large European bank as well as the PRA Stress Testing submission for a UK based bank focusing on governance and controls. Further Nadja was leading an IRB Application project for the UK legal entity of a large global bank. Most recently she has been leading large IFRS9 provisioning engagements including providing advice on IFRS9 policy and IFRS9 validation framework design.
Previous to joining Moody’s, Nadja spent four years at KPMG as a subject matter expert in regulatory remediation, governance and recovery and resolution planning. As part of this role, she has undertaken work with a top tier European bank designing and implementing an Active Credit Portfolio Management team considering organizational set-up and strategy.
Prior to that, Nadja spent 6.5 years at Dresdner Kleinwort managing the Leveraged Infrastructure Portfolio supporting the Origination Department with balance sheet capacity and managing a £2.5bn book.
Nadja holds a Bachelor of Science in Economics from Royal Holloway, University of London and a Master of Science in Economics, from University College London. She is fluent in English and German.
ANTONIOS KASTANAS, DIRECTOR
Antonios is a Director in the Risk and Finance Analytics division of Moody’s. He specialises in credit portfolio modelling and risk management, leading engagements such as IFRS9 provisioning and Economic Capital. Prior to joining Moody’s he was with EY Financial Services advisory practice, where he managed a number of risk and regulatory projects, such as IFRS9, Regulatory Stress Testing, Basel rules implementation and Capital management among others. He has experience in credit management and modelling on a wide variety of assets classes, covering both banking book and trading book exposures, including loans, bonds and derivatives.
Prior to his consulting career, he held analytics leadership roles in the banking industry in the UK and Continental Europe, in the areas of quantitative risk management, credit and financial modelling, capital management and impairments.
Antonios holds a degree in Economics from the University of Bradford and a Masters in Economics and Finance from Warwick Business School.
DAVID GONÇALVES, DIRECTOR
David is a Director in the Risk and Finance Analytics team, experienced in risk management, with a solid background in Credit Risk modelling including PD, LGD, EAD for IRB, IFRS9 and Stress testing. He joined Moody’s Analytics in 2012 from Banco Espirito Santo, one of the main Portuguese banks, where he led the Commercial Credit Risk Modelling Team covering several portfolios including SME, Large Corporates and Real Estate. For the last six years his work included the validation and development of credit risk scorecards. He has led the development of over 50 PD & LGD models for Banks, Corporate, Middle Market, Real Estate, Project Finance and Trade Finance portfolios across Europe, Middle East and Africa. Additionally he has taken leadership role in IFRS9 and Stress Testing related projects for the above portfolios.
David holds a BSc in Economics from the Universidade Nova de Lisboa and an Executive Master in Finance from Catholic University of Portugal, the School of Economics & Business Administration. He is fluent in English and Portuguese.
JAMIE STARK, DIRECTOR
Jamie is a Director at Moody’s Analytics where he leads the Data Alliance efforts in the region.
During his career Jamie has worked with banks and insurers all over the world, assisting them with risk system implementations, risk modelling, calibration and other challenging risk management projects. He started his career in risk management working at Moody’s KMV where he led credit assessment system implementations for large global banks before leading a consultancy team that assisted banks build, validate and calibrate their PD and LGD models. Jamie joined Barrie and Hibbert at a time of change and growth and took on a variety of roles that included leading service strategy and managing large consultancy engagements for insurance clients and industry groups. After acquisition Jamie returned to work in the banking sector – first as Regional Practice Leader for large consultancy engagements, and then as Head of Stress Testing implementation services in EMEA.
For a number of years, Jamie also volunteered as Regional Director for PRMIA’s Edinburgh chapter – setting up the local chapter and organising events.
Jamie holds a PhD in Artificial Intelligence from Heriot-Watt University and a BSc Honours in Artificial Intelligence and Mathematics from the University of Edinburgh and before moving into risk management he worked as researcher in Artificial Intelligence at BT and for a small start-up using Artificial Intelligence techniques to solve scheduling problems.
BRENDA SOLIS, ASSOCIATE DIRECTOR
Brenda Solis Gonzalez is a market and credit risk modeler at the Moody’s Analytics Prague office. She is responsible for leading consulting projects that involve time series and panel data econometric techniques with major banks and other financial institutions worldwide. Brenda and her team have been developing methodologies for IFRS 9 and stress testing of market risk parameters and credit risk models such as PD, LGD, EAD and Stage Allocation.
Before joining Moody’s Analytics, Brenda worked for SITA in Prague as a Treasury analyst responsible for the cash flow, currency risk management and bank relationship. In addition, she worked as a Senior Transfer Pricing consultant for Ernst and Young in Mexico. Furthermore, she worked in the Mexican Minister of Finance focusing in the liability management of the public debt in local and international markets.
Brenda got her B.S. in Economics from Instituto Tecnológico Autónomo de México, and Master’s degree in Economics and Finance with honors from Charles University in Prague, where she is currently working on her Ph.D. thesis.
APB member: 400€
Location: Hotel D. Pedro (Amoreiras)
Registration: Email required until 29th of June in order to guarantee your attendance at the Conference.