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Call for Papers Eurobanking 2017 – Grad Mokrice, Slovenia – May 28th – 31st
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Whether you are a seasoned Eurobanker or this is your first encounter with us, I hope you will take a few minutes to look at this outline of our 2017 annual meeting, to be held at Grad Mokrice, Slovenia, from May 28th – 31st. Eurobanking exists to provide opportunities for banking sector professionals to exchange and discuss ideas about the methods, experience, philosophy and application of operational research and quantitative techniques in banking. Each year, professionals with an interest in sharing current or recent work that they have been doing, in hearing about what others are doing and in discussing the issues and challenges that arise, get together to do just that. These meetings are intended to be working sessions, where the greatest value is realized from linking together different components and exploring the similarities and differences between the issues we face in our profession and how our – and other – institutions deal with them. Eurobanking meetings are a great way to meet colleagues who are facing, or have faced, the same issues and challenges as you; some Eurobankers return year after year to renew and make new contacts. We warmly invite you to register your participation in Slovenia – big discounts are available for early payment, especially before the end of January! For 2017, we have a number of topics proposed for discussion, mostly born out of previous Eurobanking meetings and a desire to find out more, where we are inviting you to contribute … but we are also open to new topics, so please do not hesitate to offer a presentation on something that is important or relevant for you. We look forward to welcoming you in Grad Mokrice, Slovenia George Matthews Secretary-General
Introduction Grad Mokrice, Slovenia
Eurobanking, 2017
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Workshops
1. IFRS 9
2. Portfolio Modelling
3. Modelling & Validation
4. The Future of Internal Models
5. Machine Learning in Finance
6. The Valuation of Derivatives Contracts Revisited
7. Banking Under Negative Interest Rates
8. New Data sources in Banking
9. ”Open Mic”
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IFRS 9
In July 2014, the International Accounting Standards Board (IASB) published IFRS 9 Financial Instruments (2014). This standard introduces a new impairment model for financial instruments and applies for annual periods beginning on or after 1 January 2018. We would like to invite you to a workshop discussing IFRS impact on financial institutions. Proposed Workshop Program:
• Your organisation’s response to the new regulations • Implications of IFRS 9 for your risk parameters • Approaches for an integrated finance and risk architecture • Forward looking risk factors - modeling lifetime PDs/LGDs • ... • Moderated discussion
Example topic: Lifetime Expected Loss Calculation – methodological & technical challenges Your Contact: Martina Spille, EFS, +49 211 826 8131, [email protected]
We would like to discuss practical challenges facing financial institutions with regard to IFRS 9, with business implications that are very much wider than the technical issues of financial and regulatory reporting
Eurobanking 2017 | WS 1
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Portfolio Modelling
Eurobanking 2017 | WS 2
Proposed Workshop Program:
• Introduction to loss distribution & ratios • Different credit portfolio models • Capital Allocation / RaRoC • New simulation methodology for quantitative risk analysis of large multi-asset portfolios • … • Moderated discussion
Example Topic: Scenario simulation - Applying Chaotic Quasi Monte Carlo Methods with Portfolio Principal Component Analysis Your Contact: Martina Spille, EFS, +49 211 826 8131, [email protected]
Portfolio models model the risk of complete portfolios by taking into account correlations among assets. We proposed to give an overview of the different aspects of credit portfolio modeling and discuss new approaches and challenges as well as recent experiences.
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Modelling & Validation
Eurobanking 2017 | WS 3
Purpose of the workshop: We invite professionals as well as academics working within the wide risk modelling and validation to participate in this workshop. All subject matter experts are invited to offer a presentation on relevant topics, whether covering the theory, practical implications or business experiences. Example presentation:
• Calibration and mapping of credit scores to credit ratings using the Cumulative Accuracy Profile - Marco van der Burgt
Key words: Rating, Scoring, Sampling, Overfitting, PD, LGD, EAD, Backtesting, Benchmarking, Credit Risk, Market Risk, Operational Risk, Your Contact: Martina Spille, EFS, +49 211 826 8131, [email protected]
Risk Modelling & Validation is a regular topic for discussion at Eurobanking meetings, which offer an ideal forum to share experiences and learn from how other organizations have tackled similar issues
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The Future of Internal Credit Models
Eurobanking 2017 | WS 4
Proposed Workshop Program:
• What is Targeted Review on Internal Models (TRIM)? • An introduction to the ECB guidance on IRB • Two examples of recent IRB models • Alignment of IRB with IFRS9 • Discussion on practical issues and business implications
Your Contact: Sebastiaan van Westerop, Rabobank, +31 6 1296 3838, [email protected]
TRIM, IRB and IFRS9
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Machine Learning in Finance
Eurobanking 2017 | WS 5
Proposed Workshop Program:
• Machine learning techniques • Available software and hardware • Applications in Finance • Moderated discussion
Possible applications: Real time fraud and risk detection, predictive behavioral modelling, adaptive risk classification and hedging, robo advice, pricing strategies, data anomaly detection
This is your chance (!) to contribute your research and/or industry experience to the workshop program.
To submit your contribution, please contact: Diederik Fokkema, PhD, +31 6 2125 2148, [email protected]
Machine learning is hot! Driven by advances in technology and large investments by big name companies research activities and real life application examples are numerous and nearly every week success stories hit the newspapers. Topics include advances in speech and image recognition, unstructured data analysis, behavioral pattern recognition, fraud detection and investment decision making. Naturally, machine learning has a lot to offer to the financial sector and in this workshop, we’ll explore relevant recent developments.
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The Valuation of Derivatives Contracts Revisited
Eurobanking 2017 | WS 6
In the derivatives workshop we want to provide the participants with an intuitive and technical understanding (on an intermediate level) of these challenges.
Proposed Workshop Program:
• Hedging interest rate risk in the banking and trading book • The impact of cross currency basis on FX hedging strategies • Calculation of XVA’s and the impact XVA’s on the economic effectiveness of hedging strategies.
We look forward to receive your ideas for topics to be covered or presentations that can be provided!
To submit your contribution, please contact: Michiel Lodewijk, +31 (0)88 288 3192, [email protected]
The 2007-09 financial crisis had a significant impact on key concepts underlying the valuation of derivatives contracts. With Lehman Brothers, ‘too big to fail’ obtained a new meaning resulting in a new perception of counterparty credit risk. Valuation methodologies assume liquid markets for financial instruments, but in some markets liquidity is still an issue even today. As a result of the crisis and its impact on derivatives pricing, the valuation of derivatives contracts is still much debated, with valuation of even the simplest contracts being challenging. The impact has been less transparency with a large number of participants being unable to cope with these challenges. Challenges include a) transition from single to multi curve framework, b) treatment of collateral, c) inclusion of cross currency basis and d) XVA’s on pricing and hedging.
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Negative Interest Rates
Eurobanking 2017 | WS 7
Proposed Workshop Program:
• The rational for negative interest rates • What is the impact on banks balance-sheet • Solutions between different banks • Negative interest rates introduced in the retail segment • Will negative rates be applied to consumers as well? • Pricing behavior and the potential impact on capital requirement • … • Moderated discussion
Example Topic: Rate setting, Negative interest rates, Pricing, Price policies
Your Contact: Jakob Hyttel-Sørensen, Nykredit, +45 4455 2531, [email protected]
Negative interest rates has affected a number of economies within the last couple of years. This has had a huge impact on the banks’ balance sheets. As a consequence banks are starting to demand interest rates on their customers as well. How on to what extend will de discussed in this workshop. We invite speakers with interest and expertise within this field to participate and share their knowledge.
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New Datasources in Banking
Eurobanking 2017 | WS 8
Proposed Workshop Program:
• Introduction to new data sources • Examples of usage • … • Moderated discussion
Example Topic: Big Data, Structured data, External data, Unstructured data, Social media data, Modelling, Predictive analytics, Your Contact: Jakob Hyttel-Sørensen, Nykredit, +45 4455 2531, [email protected]
The amount og data available to analytical purposes is no longer limited to internal structured data. Increasingly, banks have sought the value embedded in a large number of new untraditional data-sources – whether internal og external, structured og unstructured. These data are allowing banks to create better models, target customers with more relevant product, and predict or even prescript the next best action in a given situation. In this workshop we invite participants to share their knowledge and experience with this field.
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„Open Mic“
Eurobanking 2017 | WS 9
Your Contact: [email protected]
The purpose of the Eurobanking is to provide opportunities for banking sector professionals to exchange and discuss ideas about the techniques, experience, philosophy and application of operational research and quantitative techniques in banking. Some of our best discussions revolve around real examples of recent or current work and the experiences that individual institutions have had in addressing issues and challenges that are relevant across many organizations. Thus, we invite you to contribute send us presentations covering a topic that is important for you, that you would like to share with interested fellow-professionals and hear their (similar or very different!) experiences. Eurobanking is an ideal forum for promoting and discussing ideas. Take your chance.
Your expertise and application define the scope!
We look forward to your presentation and participation.
