Pool Party - Fresh Air for Internal Credit Risk Models

Pool Party - Fresh Air for Internal Credit Risk Models
Thought Leadership Webinar:  Is your bank struggling with the credit risk modelling of its Low Default Portfolios? Three focal areas have proven to challenge banks the most:
1. Lack of data
2. Constantly changing regulatory guidelines
3. Efficient cost management
Looking at it from a new angle, the Pool Approach provides a way out of the dilemma most banks are finding themselves in when it comes to modelling Low Default Portfolios.
 


Presented By:
Tobias Noll
Senior Relationship Manager
RSU Rating Service Unit


Date:
September 2, 2020


Time:
10:00 a.m. - 11:00 a.m. EDT
3:00 p.m. - 4:00 p.m. BST


Session Length:
60 minutes

 

About This Webinar

Modelling low default IRB-portfolios by using internal credit risk models dates back to the implementation of Basel II in 2007. Since then, internal models have had to deal with fairly challenging times. As regulatory expectations continuously increase, costs are set to rise and the trend towards convergence between banks seems to be unstoppable. The ECB guide to internal models (October 2019) is offering a way out of this dilemma, by taking the opportunity to use rating models developed from pooled data into consideration. Relatively unknown throughout Europe, this so called Pool Approach has existed in Germany for over 15 years and has been performing impeccably for several of the largest German IRB banks.

The Pool Approach clearly provides results of exceptional modelling quality, accompanied by economies of scale leading to a cost efficient alternative for outsourcing modelling activities for sub portfolios as well as for core businesses. Conclusively, modelling teams at institutions are relieved from having to implement new time-consuming regulatory standards as previously mentioned, and thus, are able to focus on their core business. This webinar provides further insights on the idea of the Pool Approach and the mechanics of how this approach works for banks, supervisors, and service providers.

Key messages:

  • Modelling low default IRB-portfolios is an expensive and time consuming business for IRB-banks
  • The lack of data available for modelling purposes strikes as the most troubling issue
  • The Pool Approach is taking advantage of the opportunity to use rating models developed from pooled data
  • Exceptional modelling quality and economies of scale lead to an alternative for outsourcing modelling activities
About Our Experts  

  
 
 

Tobias Noll is the Sr. Relationship Manager at RSU Rating Services Unit. Since 2012, he has serviced and advised European banks regarding all RSU-run credit risk management tools such as internal rating systems, stress testing tools, IFRS9, early warning systems, and LGD-models. 

Tobias studied business administration at the University of Applied Sciences in Aschaffenburg, Germany.  From 2006 to 2012 he worked for Société Générale and Barclays Capital in Frankfurt, Paris and London.


 
Continued Risk Learning Credits: 1

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  Registration  
  Membership Type Price  
       
  Members (Sustaining, Corporate, RIM & Contributing)
COMPLIMENTARY  
  Non Member $30 USD
 
       

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When
9/2/2020 10:00 AM - 11:00 AM
Where
Thought Leadership Webinar
 

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