Credit Risk Management, Modelling & Validation EMEA

In addition to sponsoring the event, Management Solutions participated in the Credit Risk Management, Modelling & Validation EMEA conference, organized by Marcus Evans in Amsterdam, where professionals from the financial sector gathered to address current challenges in credit risk modelling, model validation, and regulatory compliance 

During the event, Rodrigo Lojero, manager at Management Solutions, delivered the presentation “Building resilient credit risk models under evolving regulations”, in which he emphasized the need to: i) adapt internal credit risk models (IRB) to current requirements of transparency, robustness, and traceability; ii) incorporate macroeconomic and interest rate stress scenarios to avoid biases and inconsistencies; and iii) implement best practices for validation (including independent validations, sensitivity testing, backtesting, and external benchmarking). The presentation also analyzed the effects of new European regulations (including the latest Basel developments) on key parameters (PD, LGD, EAD), as well as how institutions can strike a balance between capital optimization and regulatory compliance.