Modelling and validating the Advanced Internal Ratings Based (AIRB) approach

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Assess the impact of mis-measuring PD and LGD on capital charges
Explore single, multi-factor analysis and model selection
Determine modelling limitations in a stressed environment
Identify the link between default and recovery
Examine model calibration: benchmarking, stress testing and the role of expert judgement
Estimate expected LGD. downturn LGD and downturn EADs
Assess the misalignment of validation efforts and quantification

New York 20 & 21 September 2010				VENUE DETAILS	Book now
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Michael Araten, Managing Director, J.P. MORGAN CHASE

Terry Benzschawel, Managing Director - Quantitative Credit Trading Strategy, CITI

Doug Dwyer, Managing Director, MOODY'S CORPORATION

Perry Mehta, Senior Director, MOODY'S ANALYTICS

Jivantha Mendis, Senior Director, Capital Analysis, ALGORITHMICS

Bogie Ozdemir, Vice President, BANK OF MONTREAL

Anna Cornaglia, Head of Credit Risk Modelling, INTESA SANPAOLO

Federico Galizia, Head of Risk Management and Monitoring, EUROPEAN INVESTMENT FUND

Markus Haverkamp, Manager, Group Credit Analytics, HSBC

Evgueni Ivantsov, Head of Portfolio Risk and Strategy, HSBC

Christoph Konvicka, Quantitative Analyst, UNICREDIT BANK AUSTRIA AG

Marco Morone, Senior Quantitative Risk Manager, INTESA SANPAOLO

Wolfgang Putschoegl, Quantitative Analyst, UNICREDIT BANK AUSTRIA AG

Grazia Rapisarda, VP, Capital and Credit Risk Modelling, CREDIT SUISSE