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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Comprehensive Economic Capital and Credit Risk Modelling Masterclass

Practical guidance for financial institutions on issues of estimating key credit risk parameters for wholesale and retail portfolios that meet both economic and regulatory objectives

15-16 Jul 2019
New York City, United States of America

Why You Should Attend

Comprehensive Economic Capital and Credit Risk Modelling Masterclass

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

Understand how to determine economic capital from key credit risk parameters to retain a competitive advantage in the current regulatory landscape

How will you benefit?

The need to determine economical capital for risk-return calculations according to Basel capital requirements has highlighted the importance of robust methodology to estimate key risk parameters (probability of default, exposure at default and loss given default) for both wholesale and retail portfolios. In this course, the implications of meeting economic objectives within regulatory constraints are explored in hands-on team exercises that will allow attendees to manage regulatory objectives whilst retaining their competitive edge. By the end of this intensive 2-day course bankers will be equipped with a ready-to-use framework that they can use and apply in their own firms.

About your expert trainer:

Mich Araten has had over 40 years of experience at JPMorgan Chase where he developed credit risk capital models for global retail, wholesale, and capital markets, and has completed a number of historical studies supporting these models. A special focus has been on regulatory issues, Basel, and JPMorgan’s Strategic Risk Grading Task Force. He has published widely in journals, authored chapters in books, and is a frequent speaker at conferences. As Managing Director of Credit Risk Capital Advisory he provides consultancy to banks and conducts training seminars throughout the world. He has been an Adjunct Lecturer at Columbia University, Fordham Graduate School of Business, and at Polytechnic Institute and holds a PhD in Operations Research from Columbia University.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

From Banks and Insurance companies

Vice Presidents, Directors, Senior Managers in:

  • Credit Risk Models
  • Credit Risk Audit
  • Economic Capital
  • Basel Regulatory Capital
  • LG, PD, EAD Modeling
  • Portfolio Loan Management
  • Controllership
  • Loan Loss Reserve Estimation
  • Risk Model Validation
  • Internal Audit
  • Balance Sheet Management

· Strategic Planning

Why Choose GFMI marcus evans?

marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

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Event Contact

For all enquiries regarding speaking, sponsoring and attending this conference contact:

Antonello Sarra


+44 203 002 3329
Email: antonellosa@marcusevansuk.com