Highlights of the seminar “Advanced risk management techniques: application in practice and Basel III regulatory framework”

November 26, 2014

Seminar “Advanced risk management techniques: application in practice and Basel III regulatory framework” was held on November 21, in Belgrade hotel Zira. Presentations were given by CIF team members: Miloš Božović, PhD; Miloš Talijan, MSc; Marija Nikolić, MSc; Jelena Ivanović, MSc, FRM and Aleksandra Jovović. We discussed state of the art techniques for assigning internal ratings, based on the estimates of PD and LGD, focusing both on model development and validation. Various practical applications of internal rating systems were debated, such as computing capital requirements in accordance with IRB, assessing Credit VaR within ICAAP, calculating loan loss provisions in accordance with IAS 39 and IFRS 9, etc. We have also presented new software solution for fast loan application, developed in CIF and based on internal credit ratings – AccuRate*. In final session, we tackled the issue of derivatives, discussing accounting treatment and measuring counterparty credit risk. We would like to take the opportunity to thank all our participants, coming from 13 banks, one central bank and an advisory firm, who contributed to vivid and productive discussions.