PRMIA New York New Frontiers in Credit Risk (Panel Discussion) @Reuters (3 Times Square, 42nd St. and 7th Ave.) 5:30-8 PM Wednesday, August 14, 2002 AGENDA 5:30PM networking – We thank the following for their generous assistance: * Meeting host and refreshments courtesy of Reuters www.reuters.com - Andrés Enríquez, Risk Management Product Specialist, Reuters America Inc. (646) 223-5257 andres.enriquez@reuters.com * Beverages courtesy of Risk www.risk.net * Tele-conferencing courtesy of KPMG Consulting www.kpmg.com * Event coordinated with International Association of Financial Engineers (IAFE) www.iafe.org 6:00PM NY Steering Committee introduction, PRMIA update, discussion and member survey: * Philip Merrill, NY Regional Director, (973) 258-1540, newyork@prmia.org * David Koenig, PRMIA’s Chair and Regional Director for Chicago and Minneapolis, will provide a PRMIA update and answer questions by teleconference, chair@prmia.org 6:10PM Peter Davis of Ernst & Young will summarize highlights from the PRMIA August 5th - 9th, 2002 Online Basel II and Risk Capital Allocation Web Forum. 6:20PM New Frontiers in Credit Risk (Panel Discussion) Moderated by Matthieu N. Royer, Vice President, Portfolio Analytics and Strategy, Credit Lyonnais Controlling issuer exposure and counterparty limits has been of paramount importance over the last year with the huge flood of distressed names. Balancing fundamental credit research and quantitative credit risk management processes continues to be a top priority. However, many questions still need answering: * Are credit models adequately helping investors/market participants detect changes in credit risk exposures, manage concentrations and provide actionable/meaningful credit alerts? * Minimizing tracking error to market indices increases the absolute risk because of the tail risk in huge absolute exposures to the large capitalization of these corporate issuers. What is this implying? Will be see a reversal of these large consolidations because of an inability to diversify? * Has there been a paradigm shift in the investment opportunities in fallen angels? * Is the end of the credit crunch in sight? Or is there going to be an increased tightening of credit? Discussion Topic: Recent research and developments in credit risk management and modeling. And issues surrounding differences in appropriate methodologies for various market players, including Banks, in anticipation to BIS 2 IRB qualification. 1. Model-based vs. expert judgment, or a mix? 2. Through-the-cycle vs. short-term estimate of risk? Do they converge? 3. Performance vs. granularity, or consistency vs. efficiency, is there a trade-off? 4. Applicability over full spectrum of geographic and client types? Does one model fit all? 5. Dependency on data quality? 6. Calibration requirement? During our meeting, the following distinguished panelists will discuss present their research and uniqueness of their approaches in answering Credit Risk measurement and management problems. Panelists include: * Edward I. Altman Ph.D. , Max L. Heine Professor of Finance,Stern School of Business, Salomon Center, New York University, 212.998.0709 ealtman@stern.nyu.edu Ed will shed some new light on the deterioration in the credit market and new statistics to support the recent paradigm shift in fallen angel valuations from an investor's perspective. Ed may also look at his Z-score model's performance from a high level. Ed_Altman_NYU.ppt * Chris Finger , Head of Credit Products, RiskMetrics Group, 212.981.7450, chris.finger@riskmetrics.com Mr. Finger will give an overview of the CreditGrades model for equity-based credit assessment and discuss a number of model applications. In addition, he will touch on technology and analytics issues that arise in credit portfolio modeling and pricing of CDO's. Chris_Finger_RiskMetrics.ppt * Susan K. Lewis, Ph.D. , Corporate Quantitative Strategist, CreditSights, Inc., 212.340.3819, slewis@creditsights.com Susan will discuss CreditSights' BondScore quantitative credit risk scoring model for corporates, including how it is constructed, why it is built and applied in collaboration with qualitative analysts, and how clients are using it. Susan_Lewis_CreditSights.ppt * Lev Dynkin, Ph.D. , Managing Director, Head of Quantitative Portfolio Strategies, Lehman Brothers, 212.526.6302, ldynkin@lehman.com Lev will make summary remarks on his recent publication on credit diversification and on credit market changes he has observed in recent research. Lev_Dynkin_LehmanBrothers.ppt * Greg M. Gupton , Vice President and Senior Analyst, Moody's Risk Management Services, 212.553.1653, Greg.Gupton@moodysrms.com Gupton gives an overview of LossCalc, which is the only methodology/system available to forecast Loss Given Default (LGD) at the securities level. It is based on two decades of recovery information and is validated in out-of-sample testing on the defaulted loans, bonds and preferred stock within the U.S. LossCalc Methodology Greg_Gupton_Moodys.ppt * Ben Logan , Senior Analyst, Product and Business Development, Loan Pricing Corporation a Reuters Company, 212.833.9200, blogan@loanpricing.com Ben plans to speak on optimizing the use of credit data through advanced data and data-based modeling. Bio Ben_Logan_bio.doc * Peter Davis , Director of Credit Risk Management Services, Ernst & Young's Risk Management & Regulatory Practice, 212.773.7042, peter.davis@ey.com Peter will review what commercial banks are doing for Basil II. Panel discussion: Initial comments from the panelists will be limited to 15 minutes and will be followed by moderated Q&A and discussion. Active audience participation is encouraged. 8:00PM Meeting ends: Presentations from this meeting will appear shortly on the PRMIA website link: http://www.prmia.org/Chapter_Pages/NewYork/8_14_02.html PRMIA website: http://www.prmia.org/ NY Steering committee: nysteering@prmia.org Location: NY Chapter of PRMIA monthly meetings are held at Reuters' 7th Avenue & 42nd Street 30th Floor Auditorium; meetings begin at 5:30PM. Note: This program starts promptly at 6:00PM. Attendance will be limited so please RSVP newyork@prmia.org as soon as possible to get on the security list. You can also reach Philip Merrill at (973) 258-1540. Please email any questions for the panel discussion to NYSteering@PRMIA.org. Philip Merrill PRMIA Regional Director, New York We thank our sponsors: http://www.reuters.com http://www.risk.net http://kpmgconsulting.net http://www.iafe.org And we thank our host: http://www.reuters.com If you know of someone who you think would be interested in this presentation, please forward this message and tell them to click on the membership icon below or visit our Registration Page to join PRMIA directly.

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