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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Estimation and Validation of Credit Risk Parameters

Understand the role that validation can fulfil to satisfy the multiple requirements associated with the development and implementation of credit risk models

4-5 Apr 2019
Downtown Conference Center, New York, NY, United States of America

Why You Should Attend

Estimation and Validation of Credit Risk Parameters

How will you benefit?

The estimation and validation of key credit risk parameters has come under increased scrutiny following the failures of credit risk models that lead to the Financial Recession of 2008.  These parameters provide the basis for the models used in Economic Capital, Regulatory Capital, Stress Tests, and more recently in Loan Loss Reserves through IFRS9 and CECL. It is critical to understand the role that validation can fulfil to satisfy the multiple requirements associated with the development and implementation of these models. Those responsible for providing validation need to have a solid understanding of the strengths and weaknesses in the development of these models and their underlying risk concepts.

In this two-day training seminar you will learn how model developers approach the difficult task of estimating credit risk parameters for wholesale and retail credit risk where data is often scarce and where judgment often needs to play a role. While some statistical techniques will be introduced, given the challenges presented, the more practical side of validation will be emphasized. Case studies of development and validation of model parameters at a major bank will be presented.

  • How credit risk parameters can be distilled from historic loss data
  • How macro economic factors can affect the estimation results
  • Development of alternative approaches for validating models for probability of default, exposure at default and loss given default
  • Best practices in validating both consumer and wholesale credit risk

About your expert trainer:

Michel Araten has had over 40 years of experience at JPMorgan Chase where he developed credit risk capital and expected loss 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 analyzed 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?

The course is designed both for those who occupy roles in Model Validation functions as well as those who are Model Developers. Internal Audit will be in a better position to ensure that process and procedures are followed appropriately. Users of models will also gain a better appreciation of the limitations of models and how to strengthen them.

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