To view conference presentations, please click presenter name in blue. Please note that all presentations are password protected. If you require access, email creditpract@mkmv.com.

 

Arrival: Sunday, September 7th
6:30pm Welcome Reception
7:30pm Welcome Dinner


Day One: Monday, September 8th
8:30–9:00am Opening Address
Geoff Fite, Chief Operating Officer and Head of Moody's KMV
9:00–9:45am Ray McDaniel, Chairman and CEO, Moody’s Corporation
9:45–10:30am Always the Same, Yet Always Different
James Grant, Founder, Grant's Interest Rate Observer
10:30–11:00am Break
11:00–11:45am Lessons Learned from the 2007-2008 Credit/Liquidity Crisis
Andrew Willans, Regional Credit Officer, Standard Chartered Bank
11:45–12:45pm Lunch
12:45–5:30pm Stream Sessions Day 1
Please see table below
7:00pm Cocktail Reception
8:00pm Gala Dinner
Keynote: Duncan Martin, RBS Global Banking & Markets, Author of "Managing Risk in Extreme Environments"
   
STREAMS DAY 1 Credit Risk Management
Policy & Practice		 Innovations in Credit
Risk Measurement		 Current Topics in Credit
12:45 – 1:45pm Overcoming Challenges of Building an Internal Rating System
This session provides a discussion of what delivers the best internal rating system given the objectives and constraints we all face in different asset classes: data availability, frequency of default, availability of fundamental or payment behavior data, and price visibility. The session will also cover several examples on how to deal with low default portfolios. 		Stressed PDs: Two Approaches
 This session will present two approaches for measuring conditional PDs under stress scenarios. The new Moody's Credit Transition Model will be presented, which allows clients to forecast how different future economic conditions are likely to affect default rates and rating changes. This model allows clients to create rating transition matrices and PD term structures conditional on future economic scenarios, and may be particularly useful for stress testing. Additionally, recent work will be presented on helping clients create conditional EDF term structures by subjecting the EDF drivers to conditions that may be present in a recessionary period. Both approaches may help clients answer the pressing question, "How severe are downgrades and defaults likely to get?" 		Underwriting and the Economy: Model-based Observations on the Subprime Crisis
The implications of underwriting quality and declining home prices in the Subprime markets as revealed through Moody's Retail Portfolio Analytics.
  • Roger Stein, Moody’s Investors Service
1:45 – 2:00pm Break Break Break
2:00 – 3:00pm EDF Case Study
A discussion of how EDF Credit Measures can be used for monitoring and surveillance.
Valuation, Credit Spread, and Risk of Corporate Loans
This presentation will discuss three topics that are relevant to different constituents in the corporate loan market. First, we present analytical and empirical results on how to take into account prepayment options and other contingencies in loan valuation. Second we show how a pure credit spread measure (OAS) is developed for loans, which facilitates the comparison of investment opportunities across bond, loan, CDS, and LCDS markets. Third, we calculate the sensitivity of loan values to credit quality changes.
 Status of CRE Markets and Defaults
The presentation will provide an overview of the current commercial real estate lending market in the context of its historical evolution. In particular, it will focus on the credit risks of commercial mortgage lending within a forward-looking analytical framework that takes into account both underwriting ratios and commercial real estate market dynamics. Potential default rates and loss rates for CRE holdings on commercial banks’ balance sheets will be analyzed, and results for baseline and alternative scenarios will be discussed and compared to that in the last couple recessions. Finally, the presentation will share near-term and longer-term outlook of the overall commercial mortgage market in light of recent credit events and widespread re-pricing in the CMBS market.
3:00 – 3:15pm Break Break Break
3:15 – 4:15pm Credit Concentration Risk: How Much Is Too Much?
What are the underlying sources of credit concentration risk? How much is too much, and what can credit underwriters and investors do to recognize dangerous credit concentration risk and manage it to avoid large losses?
Measuring Exposure at Default(EAD)
EAD is perhaps one of the most important yet least studied subjects in credit risk measurement. Recent research on EAD for both publicly traded companies and middle market firms will be presented. This presentation will also discuss the results from a recent MKMV survey of several banks on their practices of measuring EAD.
 CRE Case Study
Case study of how to analyze an IPRE property using RiskAnalyst IPRE Template and CMM.
4:15 – 4:30pm Break Break Break
4:30 – 5:30pm Diversification, Concentration and Basel II
There are a host of reasons to measure and create diversified portfolios beyond the mandate of Basel II's second pillar. In practical terms, how does a financial institution go Beyond-Basel, beyond regulatory compliance, to bring these measures into risk management, business reporting and senior management discussions? 		Loss Given Default: Latest Developments in Modeling and Research
The latest approaches to modeling Loss Given Default (LGD) will be discussed, as well as the newest research findings on the subject. This research is leading to the development of LossCalc Version 3.
Valuation Methods
Overview of differences between MKMV’s CreditMark, and MISĄŻ Observed Quotes, Modeled Values, and Evaluations. A discussion of the benefits of marking to market, and an explanation of when each should be used.

Panel Discussion (PDF has all combined)


Day Two: Tuesday, September 9th
7:00–8:00am Early Bird Session - Financial Statement Spreading Automation
Get up early for breakfast to learn why the days of manually spreading financial statements for credit risk analysis is a thing of the past. See how the automation of financial statement spreading can lead to significant efficiencies that allow analysts to spend more time on value-added credit risk analysis and exception management.
  • Brad Saegesser, Director of Operations, Balenz Software, Inc.
    		•
    8:30–9:00am Opening Address
    Geoff Fite, Chief Operating Officer and Head of Moody's KMV
    9:00–9:45am Mark Zandi, Chief Economist, Moody’s Economy.com
    9:45–10:30am Best Practices for Enterprise Wide Credit Risk Management
    Lori Evangel, Credit Risk Officer, Metlife
    10:30–11:00am Break
    11:00–11:45am Managing Credit Risk Consistently Across a Global Organization
    Jim O'Neill, Chief Credit Officer, IBM & IBM Global Financing
    11:45–12:45pm Lunch
    12:45–5:30pm Stream Sessions Day 2
    Please see table below
    7:00pm Closing Dinner - Offsite

    STREAMS DAY 2 Credit Risk Management
    Policy & Practice    		 Innovations in Credit Risk Measurement Current Topics in Credit
    12:45 – 1:45pm Building a Highly Accurate and Stable EDF-Based Through-the-Cycle Rating System
    Market-based EDF measures have many enthusiasts, but they have been sometimes overlooked by consultants focused on creating TTC systems. A discussion of the basic steps in constructing TTC ratings using the Expected Default Frequency (EDF).     		Expanding Correlation Modeling Beyond
    Public Firms
    In this session, hear latest research on correlation modeling in asset classes other than large corporates ¨C particularly Commercial Real Estate, retail, and SMEs. Explicitly modeling inter and intra asset classes correlations is increasingly important for full assessment of portfolio concentration and diversification.
    		 Managing A Credit Portfolio in the Current Environment
    For any institution managing a portfolio of corporate credit assets, maximizing performance against a benchmark and minimizing risk are absolutely critical to success. This is especially the case during market turmoil. In this session, the outlook for corporate credit and challenges in managing a credit portfolio will be discussed. Empirical evidence will be presented that analytic tools can not only help clients construct benchmark-beating portfolios, but enable them to simultaneously reduce portfolio risk.
    1:45 – 2:00pm Break Break Break
    2:00 – 3:00pm Developing Effective Internal Scorecards - Validation, Calibration and Application Issues
    This session focuses on the steps involved in developing effective scorecards for commercial lending and the process of validation, calibration and use of scorecards
    • Moderator: Ivo Antonov, Moody’s KMV
    • Phil Chamberlain, Bank of New York Mellon
    • Paul Widuch, Northern Trust
    • Paul Huck, Federal Reserve Bank of Chicago
    		 New Public-Firm EDF and Spread-Implied EDF Research
    In this session, hear about the latest work on CDS spread-implied EDFs and public Firm EDF model improvement. The structural framework for dissecting credit spreads into PD, LGD, risk premium and other components will be presented with empirical results.
    		 New Approaches in Retail Credit Forecasting and Stress Testing
    Moody’s Economy.com uses a unique methodology to construct forecasts and stress tests for different vintages of consumer credit products. These methods have been employed successfully in a number of recent endeavors in areas as diverse as U.S. subprime mortgages and prime grade British credit cards. This session will detail our approach with reference to a number of recent case studies.
    3:00 – 3:15pm Break Break Break
    3:15 – 4:15pm An Economic Capital Approach to Setting Limits within the Loan Portfolio
    How an economic capital framework can be used to set limits on credit exposures. How to structure limits on individual obligors and segments within the overall portfolio.       		RiskCalc Research Update
    This session will cover the latest RiskCalc model releases. New RiskCalc research will also be discussed, including the new Large Firm model, designed primarily for large private firms, recently privatized or LBO firms, as well as the new US Insurance Company model.
    		 Rating Agency Perspective on FIs
    Discussion of how MIS is evaluating and rating Financial Institutions based on the current credit markets.
    4:15 – 4:30pm Break Break Break
    4:30 – 5:30pm Combining Results of Internal and External Models for Business Decision-making
    		 Modeling Asset-Backed Securities in a Credit Portfolio
    Modeling ABS in a portfolio setting using the loan-equivalent and synthetic CDO-equivalent approaches. A study of correlations between ABSs and between an ABS and single-name instruments in the portfolio.
    		 Market Implied Ratings
    Using Market-based Signals to Sharpen Credit Risk and Investment Management Processes


    Day Three: Wednesday, September 10th
    8:00–9:00 AM Breakfast
    9:00–12:00 PM Best Practices Product Workshops
    Workshop I:
    Maximizing the
    Benefits of RiskAnalyst    		 Workshop II:
    EDF Credit Measures and the Current Environment     		Workshop III: RiskFrontier and Credit Portfolio Management
    Workshop format:
    Demonstrations and discussion
    • Administration and Financial Template Functionality
    • Dual Risk Rating Solutions
    • Client Spotlight of their RiskAnalyst Implementation
    • Preview RiskAnalyst New/upcoming Functionality

      Barry Herrin, Suntrust
      John Baer, Moody’s KMV
      Jim Bilek, Moody’s KMV
      Pam Bickel, Moody’s KMV
    		 Workshop format:
    Roundtable discussion
    • Relevance of EDF credit measures in the current environment
    • Using EDF Credit Measures for Pricing Decisions
    • Converting Spreads into EDF, and EDF into Spreads
    • Planned Developments in Public and Private EDF

      Anuj Gupta, Moody’s KMV
      Jim Sarrail, Moody’s KMV
      Doug Dwyer, Moody’s KMV
      Charles Stewart, Moody’s KMV
      Steve Wiggins, Moody’s KMV
      Giovanni Butera, Moody’s KMV
    		Workshop format:
    Roundtable discussion
    • How Credit Portfolios are being Managed
    • Portfolio Improvement and Optimization
    • Stress Testing and Scenario Analysis
    • Portfolio Benchmarks
    • Regulatory vs. Economic Capital
    • Economic Capital Allocation
    • Concentration Risk -- How Much is too Much?

      Vanessa Wu, Moody’s KMV
      Mikael Nyberg, Moody’s KMV