Online GCD member roundtable: Upgrading of Risk Models, Reduction of Portfolio Risk Exposures and Refining the Pandemic Stress Testing Framework Please register here to get access to login details and to questions shared in advance. Agenda: A - COVID-19 lockdown: is re-opening driving markets now? Pandemic/macro-economic outlook – to date Initial and next government policy responses, supervisory guidance for prudential/accounting metrics (Reg Cap, ECL) Economic and financial transmission mechanisms Dislocation/Recovery for key sectors : Healthcare, Manufacturing, Supply Chain, Trade Finance, Transportation, Aviation, Oil, Retail Trade, Hospitality, Travel, Entertainment   B - KNOWLEDGE ROUNDTABLE: 1. Risk Measurement and Modelling Assumption in Crisis/Re-Opening Context ​Governmental support and defaulted obligors: postponed regulatory compliance? Upgrading of risk models, Re-examination of assumptions built in risk models Down-turn impacts on recovery processes Regulatory guidance to addressing procyclicality during this crisis 2. Banks’ actions on portfolio and balance sheet management Active portfolio and balance-sheet management: selling of underperforming assets Mobilization of collaterals with central banks Restructurings, Additional drawings 3. Refining the pandemic stress testing framework Pandemic scenario: incorporating epidemiology and infection spread assessments, anticipation of shutdown measures Quantify pandemic scenario’s impact on portfolio relevant economic/financial drivers Model conditional rating transition matrices to project impact of economic/financial drivers […]

Global Credit Data organized a closed-door (online) GCD member roundtable on the implementation of the EBA Downturn LGD Guidelines / RTS, with specific questions relevant to international banks with a broad organization, wide geographic reach and multiple business cycles.           

Susanne Roehrig (EBA) is providing further clarity with regards to implementing EBA's Downturn RTS / Guidelines in light of the Covid-19 pandemic.     The slides of the presentation can be downloaded here. 

Online GCD member roundtable: Upgrading of Risk Models, Reduction of Portfolio Risk Exposures and Refining the Pandemic Stress Testing Framework Contact Daniela Thakkar to get access to login details and to questions shared in advance. Agenda: A - COVID-19 lockdown: is re-opening driving markets now? Pandemic/macro-economic outlook – to date Initial and next government policy responses, supervisory guidance for prudential/accounting metrics (Reg Cap, ECL) Economic and financial transmission mechanisms Dislocation/Recovery for key sectors : Healthcare, Manufacturing, Supply Chain, Trade Finance, Transportation, Aviation, Oil, Retail Trade, Hospitality, Travel, Entertainment   B - KNOWLEDGE ROUNDTABLE: 1. Risk Measurement and Modelling Assumption in Crisis/Re-Opening Context ​Governmental support and defaulted obligors: postponed regulatory compliance? Upgrading of risk models, Re-examination of assumptions built in risk models Down-turn impacts on recovery processes Regulatory guidance to addressing procyclicality during this crisis 2. Banks’ actions on portfolio and balance sheet management Active portfolio and balance-sheet management: selling of underperforming assets Mobilization of collaterals with central banks Restructurings, Additional drawings 3. Refining the pandemic stress testing framework Pandemic scenario: incorporating epidemiology and infection spread assessments, anticipation of shutdown measures Quantify pandemic scenario’s impact on portfolio relevant economic/financial drivers Model conditional rating transition matrices to project impact of economic/financial drivers on […]