About this learning event

The goal of the workshop is to provide the participants with relevant knowledge and tools on how to supervise credit risk internal models (IRB models). We will start from the basic concepts and will explore the supervision of IRB models in three main areas:

• The supervisory approach to IRB models, including how supervisors organize model supervision and strategies to decide on model appropriateness.
• The most relevant qualitative features of IRB models, including aspects of data quality, IT or supervision of the internal validation and audit functions.
• The quantitative aspects of IRB models, with a focus on the following aspects relating to risk parameters (Probability of Default, Loss Given Default and Credit Conversion Factors):
  • Key concepts of modelling IRB parameters.
  • Relevant methods used to supervise IRB parameters and main difficulties supervisors face when reviewing them.
  • Key aspects of IFRS9 models and comparison with IRB modeling requirements.

It is thus not a course on the legislation or procedures linked to the review of models, although the most relevant regulation will be presented when useful. Additionally, the course may have different follow-ups on topics of interest to the audience, such as the use of artificial intelligence by banks and supervisors.

The material is designed such that on-site inspectors, off-site supervisors and policy staff, specialized in quantitative models or not, can benefit from this program. The sessions will be highly interactive, with participants actively involved in practical activities and the content dynamically focused on the needs of the audience.

Who should attend

The workshop is designed for a wide range of participants from (off-site and on-site) banking supervision as well as other policy staff - from those with no prior knowledge of modeling or statistics - to those with an advanced knowledge of mathematics and modeling techniques.

Active participation and working knowledge of English is expected.

Faculty

• Carlos Díez, Credit Risk Internal Model Expert, Bank of Spain

Carlos graduated in Physics in 2010 and began his professional career as a consultant for financial institutions, specializing in quantitative and qualitative aspects related to credit risk models. In 2018, he joins Bank of Spain, where he currently leads and participates in internal model investigations. Additionally, he is involved in various international working groups in the field of internal models and supervision within the Single Supervisory Mechanism and collaborates with the International Monetary Fund as an expert.

• Elena Martin Teulón, Credit Risk Internal Model Expert, Bank of Spain

Elena graduated in mathematics in 2010. After working some years as a consultant in financial risk management, she joined Bank of Spain in 2015 as a credit risk internal model expert. Since then, she has been participating in and leading internal model investigations, as well as participating in international working groups aimed at developing and interpreting regulatory requirements for IRB models in Europe. Additionally, she occasionally delivers training courses in different institutions such as the International Monetary Fund, where she collaborates as an expert.

• Vincent Sapin, Head of Internal Model Supervision, National Bank of Belgium

Vincent is the head of the team in charge of the quantitative aspects of inspections performed in banks, including the validation of Pillar 1 credit, market and counterparty risk models (qualitative topics included). He was also responsible for the insurance Pillar 1 models for 10 years. He has been a long-standing member of Basel groups in charge of the consistent implementation of the internal models for credit risks. He gives training in many fora, on internal models but also on economic capital models and Artificial Intelligence (including the new EU AI Act and ethical/societal aspects of the AI models).

• Biljana Shumanska, Senior advisor in the on-site supervision department National bank of Republic of North Macedonia

Biljana joined National bank of Republic of North Macedonia in 2005. She is head of inspection teams for on-site banking supervision and also responsible for design and implementation of the on-site supervisory methodologies for risk assessment. Additionally, she is involved in evaluation of the IRB models in banks and supporting documentation when assessing credit risk. She also contributes with asset quality review and impairment testing when reviewing the process for measurement of credit risk in banks.

Partners

This learning initiative was supported by: