Credit Risk Modelling: IFRS 9, Stress Testing, and Alternative Data 2018 | Marcus Evans | 14 May 2018 | Singapore , Singapore

After spending huge amounts of resources in implementing IFRS 9, banks now find themselves having to grapple with post-implementation IFRS 9 challenges including validation and modelling complexities. There is an undeniable link between credit risk models and stress testing, and banks have to figure out how to optimise this relationship. What is still unclear is the use of macroeconomic scenarios, which are proving problematic, considering the lack of standardisation across the industry. Banks are finding it challenging to make meaningful comparisons in their results due to this lack of standardisation. Compounding this issue is the poor data facility in the APAC region, with a lack of historical data and poor data storage. Overcoming the data challenge is going to be crucial if banks are to come up with accurate models that are fully compliant. With many emerging markets having little financial inclusion, banks face problems in assessing the credit risk of their potential customers, of which looking to social media can help resolve this challenge.

This marcus evans conference will feature relevant case studies from industry leaders on their post-implementation processes and challenges, with a view to model optimisation. Delegates can come together in the panels to discuss crucial areas in credit risk modelling including regulatory guidance and standardisation of macroeconomic scenarios in IFRS 9 and stress testing, as well as non-IFRS 9 credit risk modelling challenges. The conference will allow banks to gain insights on the use of alternative data to aid them in their credit decisioning models in a time when social media is gaining huge traction.
Key Topics
•Adjust your IFRS 9 models and use your results effectively post-implementation
•See practical examples of stress testing scenarios in action and leverage the link with IFRS 9
•Overcome the data challenges in the region such as lack of data and poor data infrastructure
•Discover examples of innovation in credit risk modelling including use of social media data

2018 Speakers

Stuart Burns
Senior Technical Specialist, Model Validation, Bank of England, UK

Christian Zuchowski
Director, Head of Credit Validation, Deutsche Bank, Germany

Stephan Wiehler
Director, Global Head of Client Credit Risk and Credit Scenario Analysis, Credit Suisse, Switzerland

Ernst Eichenseher
Head of Group Credit Risk Modelling, Unicredit, Italy

Vishal Kapoor
Executive Director, Head of Group Finance Audit and Risk Audit, DBS, Singapore

Jarrad Hee
Managing Director, Group Head of Capital and Portfolio Analytics, Emirates NBD, UAE

Tey Chun Maw
Head, IFRS 9 Model Validation, Maybank, Singapore

Mushana Mustafa
Head, Risk Modelling, Group Risk, Maybank, Malaysia

2018 Sponsors

GOLD:
• Moody's Analytics Hong Kong Limited
• DataRobot Asia Pacific