12 Mar 2024
Participants are expected to have some basic knowledge on credit risk and regulatory frameworks (Basel III or Solvency II).
Technical RequirementsPlease check with your IT department if your firewall and computer settings support web session participation (the programme Zoom will be used for this online training). Please also make sure that you are joining the web session with a stable internet connection.
Purpose and Nature
This session aims at introducing credit risk modelling, management and comparing Basel III versus Solvency II approaches.
We will start the session by explaining PD and LGD models. Following this introduction, we will present the different credit risk quantifications and the capital charges for the bank versus insurance sector. We will then illustrate how to embed credit risk management within business and highlight the major trends recently observed in credit risk. We will end up with a concrete example and a quiz supporting key takeaways.
Daphné de LevalDaphné has about 20 years of professional experience. She is mainly specialized in life insurance actuarial techniques, pension funds and risk management. She has worked on diverse functions: Solvency II implementation, risk management, financial and prudential audit, IFRS 17 implementation, Sustainability Projects and M&A. She is an active Actuary at European level within the Actuarial Association of Europe (AAE) (Vice-Chair Insurance Committee, Solvency II, and Sustainability).
George GarstonGeorge is a financial risk professional with almost a decade of experience spanning both consultancy and banking. He started his career developing financial risk models and pricing models for exotic derivatives. More recently, his focus has shifted towards holistic / portfolio-level risk management, supporting global financial institutions in their strategic risk and capital management engagements. George holds a masters degree in Mathematics from the University of Oxford, and has recently completed an Executive MBA from the University of Oxford Saïd Business School.