Share with Peers (Asia Pacific): best practices to address Covid-19 Impacts

Share with your Peers on challenges and best practices to address Covid-19 Pandemic’s Impacts
09 June 2020 08:30 to 10:30 CEST

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


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 banks’ portfolios or segments
  • Quantify NPL from stressed risk profile
  • Quantify DT Losses
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