Kick-off new Focus Group on "Bank-internal Economic Risk and Performance Measurement within Basel 2 - Pillar 2"

28 August 2018 14:00 to 15:00 CEST

Member discussion group by web/phone, plus breakout sessions in conferences.  GCD focus groups are run by members and cover topics of interest to members, so the focus may move during the discussions.

 

Chaired by:  Robbin Tops and Raphael Keller of UBS have offered to chair the focus group

 

Content: 

All Financial institutions need to measure the risks that the institution is running. 

•   Regulators require quite rigid risk measurement through Basel Pillar 1 models and stress tests (CCAR in the US)

•   CFOs and auditors require expected loss modelling in accordance with their rules of IFRS9 and CECL

However the bank needs to have their own view on risk, an internal risk assessment is usually measured using an economic view. For Basel purposes, these models are run as an alternative internal measure of performance and required capital. This process is described  within Pillar 2 of the Basel Accord

Economic Capital modelling gives the Board and Management a tool to steer the business and their particular risk mix (risk they deem material) and ensure that the bank has sufficient capital and earnings cushions to cover future downturns.

All aspects of internal risk measurement within Pillar 2 will be open for discussion, however the initial focus will be on the following questions:

  • Role of Credit Portfolio Models and Applications within Risk Appetite
  • Loss Contributions: How to calculate in a practical context and report in the matrix dimension of Risk Source vs. Business Division/Area or Performance segments?
  • How to measure diversification benefit or concentration risk in a Structural Credit Portfolio Model?

 

Who should attend: 

Finance industry executives performing or managing risk measurement within Pillar 2 and especially within an economic view of risk.  Please forward this invitation to the correct specialists in your bank.  Risk people interested in learning more on this topic should also attend

 

First meeting: 

28 August 2018 1400 CET  See zoom link below, including dial in numbers for all countries (not just US)

Join Zoom Meeting

Phone one-tap:  US: +19294362866,,712761613# or +16699006833,,712761613#

Meeting URL:     https://globalcreditdata.zoom.us/j/712761613

 

Join by Telephone

For higher quality, dial a number based on your current location.

Dial:      

US: +1 929 436 2866 or +1 669 900 6833

Meeting ID:         712 761 613

International numbers

 

Contact: 

Contact Philip Winckle with any questions or to express interest, or just turn up to the first meeting.

 

Anti-trust warning: 

Participants are warned not to provide sensitive information about their bank or to engage in discussions which might encourage or lead to collusive behaviour. If in doubt then please seek guidance from your own bank’s policies or legal counsel.

Location: 
Zoom call
Speaker: 
Robbin Tops and Raphael Keller (UBS)
Contact Person: 
Philip Winckle
Category: 
Working group meeting