Agenda
8:00 – 8:50
Registration and breakfast
8:50 – 9:00
Chair’s opening remarks
9:00 – 9:35
COMERCIAL REAL ESTATE
Anticipating and mitigating potential CRE risks on the horizon
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- Identifying and managing concentration risk across the industry
- Management of exposure and ripple effect across the industry
- Impact of interest rate rises on commercial loans
- Monitoring and stress testing risks to drive diversification
- Future of regulation to test resiliency of wholesale banking
- Credit loss impacts of holding a non-performing asset
- Repricing loans with decreased rental demand
- Monitoring trends in CRE and increased realized losses
- Managing the impact to smaller banks exposed to CRE risk
- Increased delinquencies with reduced office occupancy
- Diminishing risk appetite to finance CRE sector
- Interaction with CECL in estimating expected losses
9:35 – 10:20
COLLATERAL VALUATION – PANEL DISCUSSION
Mitigating the impact of maturing commercial mortgage-backed securities (CMBS)
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- Collateral valuation changes in commercial lending
- Impact of Covid-19 on economic overview
- Impact of working from home environment on commercial asset valuation
- Developing models with a broad scope of economic factors
- Overcoming challenges with data availability
- Reliability and accuracy of collateral valuations
- Challenges in market environment
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Michelle Stanley-Nurse, Global SVP, Credit Risk, PNC |
10:20-10:50
Morning Refreshment Break and Networking
10:50 – 11:25
MULTIFAMILY ASSET CLASSSES
Assessing recent losses and increased risk level with multi-family loans
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- Reviewing the impact of macroeconomic variables on multifamily asset classes
- Impact of interest rate rises on debt service coverage ratio
- Managing growth and concentration levels
- Risk management practices for changing asset classes
- Conducting loan-level stress testing separate from CCAR or DFAST
- Ensuring granularity of data for long-term forecasting
- Enhancing portfolio diligence
11:25 – 12:00
CONSUMER CREDIT
Monitoring increased delinquency rate in unsecured lending
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- Anticipating changes to job markets on the horizon
- Impact of increased delinquencies on credit losses and allowances
- Alignment with CECL lifetime view
- Analysis of fair market value accounting as an alternative to CECL
- Ripple effect through allowances and capital planning
- Leveraging data to develop early indications
12:00 – 12:35
DELINQUENCY RATES
Assessing increased delinquency rates after a period of low rates
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- Impact of pandemic measures on delinquency rates
- Changes as restrictions and payment deferrals expire
- Monitoring rates across portfolios
- Managing upside trends in delinquencies
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Liming Brotcke, Senior Director, Head of Model Validation, Ally |
12:35-1:35
Lunch Break and Networking
1:35 – 2:20
CREDIT DEFAULTS – PANEL DISCUSSION
Impact of credit defaults on bank revenues and the ripple effect across the industry
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- Managing an uptick in defaults with volatility
- Adequate reserving for potential losses
- Changes to lending with market changes
- Adjusting scenarios and projections to reflect losses
- Altering defaults and losses to account for unforeseen events
2:20 – 2:55
BUY NOW PAY LATER
Reviewing the impact of buy now pay later on credit risk
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- Managing increased extension of credit
- Impact to performance
- Tracking short-term loans in credit report
- Impact of omitting buy now pay later loans
- Reviewing voluntary reporting to credit bureaus of BNPL payment history
- Information advantage to buy now pay later lenders
- Distortion of information with multiple lines of credit hidden
2:55 – 3:30
POST COVID-19 RECOVERY
Monitoring continued uncertainty as consumer behaviors evolve post-COVID
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- Managing elevated risks across certain portfolios
- Reviewing changes to auto loans and increased losses
- Making informed decisions with continued uncertainty
- Reviewing increase in private credit and the impact across the industry
- Setting portfolio provisions in a post-COVID environment
- Relevance of historical data points
- Impact of return to student loan repayments after COVID-19 relief
- Understanding impact of stimulus to FICO bands and loan eligibility
- Structural changes in the market post-pandemic
3:30-4:00
Afternoon Refreshment Break and Networking
4:00 – 4:35
BANKING FAILURES
Understanding 2023 banking failures and what they mean for the financial industry
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- Managing increased focus on regional banks
- Enhancing models to include broader macroeconomic environment
- Reviewing how liquidity impacts have affected credit availability
- Amending scenarios to reflect current economic environment
- Assessing the difference between 2023 and previous failures
- Reviewing which risks contributed
- Liquidity and balance sheet weaknesses
4:35 – 5:10
INSURANCE RISK
Managing evolving insurance crisis and the relationship with climate change
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- Reliance on insurance industry to cover high-scoring physical climate change assets
- Reviewing banking approaches to compensating for climate risk
- Interlinkage of insurance with climate change
- Balancing conflict of mandating coverage with limited availability
- Safety and Soundness Act to ensure security of investments
- Enforcement of hazard and liability for banks
- Rise of assets without sufficient insurance
5:10-5:20
Chair’s Closing Remarks
5:20
End of day one Networking drinks reception
8:00 – 8:50
Registration and breakfast
8:50 – 9:00
Chair’s Opening Remarks
9:00 – 9:35
REGULATORY LANDSCAPE
Mitigating credit risk whilst ensuring compliance across a range of regulatory initiatives
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- Reviewing broader credit risk expectations
- Managing disparities across global regulators
- Reviewing the future of Basel and impact of Basel III ‘end game’
- Implementation challenges
- Reviewing future regulation and approach to AI
- Leveraging experience from more advanced jurisdictions
- Lessons learned from IFRS 9 advances and relation to CECL
- Incorporating enhanced prudential standards
9:35-10:10
BASEL END GAME
Reviewing Basel proposal and it’s impact to credit risk
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- Reviewing changes to credit risk under new Basel guidance
- Potential impacts to the market and pricing
- Expectations on impacts to models and financing facilities
- Overview of securitization changes and impacts
- Reviewing approaches across jurisdictions and potential disadvantages
- Alignment between model-based credit risk and capital
- Impact of changes to standardized approach for credit risk
- Global disparities
- Impact of Basel rules on working capital financing
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Phil Ohana, Global Head of Market Risk Audit, UBS |
10:10-10:40
Morning Refreshment Break and Networking
10:40-11:25
MACROECONOMIC ENVIRONMENT – PANEL DISCUSSION
Reviewing macroeconomic environment changes and their impacts to credit
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- Managing conflicting macroeconomic indicators
- Impact of macroeconomic environment on portfolios
- Reviewing contributing factors to a recessionary environment
- Managing anticipation of increased defaults
- Understanding the impact from the growth of private credit providers
- Effectiveness of historical indicators in predicting a recession
- Changes to credit risk level in adverse economic environment
- Managing high inflation and interest rates
- Increased cost of living and debt repayments
- Changes in debt levels to consumer with higher rates
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Alisa Rusanoff, Head of Credit, Trade Finance, Crescendo ACS |
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Hakan Danis, Head of Macro Scenario Design, Citi |
11:25-12:00
INTEREST RATE RISK
Mitigating the impact of interest rate risk on commercial and consumer debt
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- Assessing economic trends and factors impacting interest rate changes
- Managing the impact to ongoing business operations
- Reviewing risks of refinancing in a changing rate environment
- Maintaining up-to-date models and assumptions
- Increased debt burden with raises in credit card interest rate payments
- Increased competition of money market accounts
- Balancing inflation price rises and increased interest rates
- Impact of changing rates on the prepayment model
- Impact to profitability with high rate on commercial loans
- Reviewing loans reaching maturity with higher rates
- Changes to debt to income ratios with rate increases
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Santosh Mishra, Head of Credit Model & Strategic Alignment, KeyBank |
12:00-12:35
MODELING
Reviewing the forecasting capabilities and data requirements of credit risk models
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- Processing capability of credit modeling
- Understanding the impacts of heightened losses
- Tracking habits across products and customers
- Ensuring models react accurately to market changes
- Understanding data for effective decision-making
- Developing short-term solutions during uncertainty
- Projections of increased losses
- Lessons learned from Covid-19 and model performance under unusual economic conditions
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Michael Jacobs, Jr., SVP, lead Modeling Expert, PNC Financial Services Group |
12:35-1:35
Lunch Break and Networking
1:35-2:20
AI/ML – PANEL DISCUSSION
Leveraging opportunities in advanced modeling techniques for the credit risk portfolio
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- Implementation of AI and machine learning within credit risk
- Modeling approaches and processes
- Utilizing large language models to facilitate credit review processes
- Training models to predict based on volatile data
- Impact of Federal and government COVID-19 support
- Leveraging uncorrupted data sources
- Ensuring data transparency and confidentiality
- Deploying models alongside regulatory requirements
- Understanding drivers behind results
- Identifying and differentiating risk
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Varun Nakra, VP, Credit Risk Modeling, Deutsche Bank |
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Sudeep K Lahiri, Executive Director, Morgan Stanley |
2:20-2:55
STRESS TESTING
Carrying out effective stress testing to understanding structural changes in the market
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- Monitoring losses and economic changes
- Stress testing complexities in the economy
- Impact of large scale events on analytical tools
- Leveraging existing tools to enhance stress testing
- Constructing better stress testing frameworks
- Capturing macroeconomic variables and structural economic change
- Translating variability and uncertainty into potential losses
- Amending PD and LGD to account for changing economy
- Stress testing higher risk portfolios
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Alberto Scalari, Head of Counterparty Credit Stress Testing, BMO |
2:55-3:30
CECL
Reviewing the impact of CECL in an uncertain economic environment
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- Reviewing impact of approaches and effectiveness in mitigating downturn risks
- Variations in approaches and impact to allowances
- Lessons learned across jurisdictions and implementation approaches
- Process review for estimation of credit losses
- Future changes to advance best practice
- Use of fair value accounting as an alternative to CECL
- Ensuring accuracy and relevance of data sets
- Impact of COVID-19 on approaches with relax in rules
- Treatment of realized losses during COVID-19
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Industry Expert, Blackrock |
3:30-4:00
Afternoon Refreshment Break and Networking
4:00-4:35
DATA
Leveraging new tools to enhance data quality
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- Collecting up to date information
- Enhancing data quality and aggregation
- Collecting and aligning loan data
- Building infrastructure to access data in real time
- Ensuring accuracy of data
- Use of non-traditional data sources
- Managing legacy systems and teams
- Ensuring accurate data to track risk appetite
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George Stasinopoulos, Credit Transformation, Wells Fargo |
4:35-5:10
CLIMATE RISK
Assessing the overlap of credit risk and physical risks within climate risk
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- Understanding how climate events could impact the ability to repay
- Managing estimated climate and physical risk
- Data sources for climate risk modeling
- Modeling physical damage under different climate events
- Creating a comprehensive framework to combine credit and climate
- Proactively building climate scenario capabilities
- Tracking and understanding likely impacts
- Incorporating broader ESG considerations into credit risk management
- Developing model and analytical capabilities
- Reviewing tools and products available
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C. Robin Castelli, Head of Transition Risk Model Development, Citi |
5:10-5:20
Chair’s Closing Remarks
5:20
End of Congress