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Agenda

Speakers

CRL Credits

  Date:
June 19, 2024

  Time:
16:30 - 20:00 CEST

  Presented By:
PRMIA Vienna

 Location:
SAS Institute Software GmbH
Trabrennstraße 2B
1020 Wien, Austria

2023 was the hottest year in modern history. With the rising impact of the deteriorating climate, banks are working hard to identify and measure these new risks emerging in their portfolios. In the context of the limited data and lack of industry golden standard & modelling best practices, the various modelling methodologies often rely on assumptions and expert judgment and expose banks to Model Risk.

At the same time, banks are increasingly looking for ways to leverage the above both in their day-to-day business decisions and strategically as they are exploring the impact of alternative transitions plans on their portfolios, and looking for the decarbonization strategy that comes with optimal tradeoff between carbon reduction, risks and returns.

Together, PRMIA Vienna and SAS will discuss with banking experts how banks are developing and deploying climate risk analytics to address the above challenges.

Speakers
		Thomas Gaber, Partner, KPMG Austria In meiner Tätigkeit als Partner im Bereich Financial Services Advisory/Risk Consulting bei KPMG Austria supporte ich meine Kunden gemeinsam mit meinem quantitativen Risikomanagement-Team in den Themenfeldern Kreditrisikomanagement, Bilanzierung von Finanzinstrumenten (IFRS 9 Expected Credit Losses) und Modell-Validierung. Wir analysieren dabei auch, wie ESG-Risiken (Environmental-, Social- und Governance-Risiken) auf das Kreditrisiko einwirken. Neben klassischen Beratungsleistungen entwickeln wir technologiebasierte Lösungen mit Hilfe von Machine-Learning-Methoden auf Plattformen wie Python, R und SAS®.
		Ondrej Jilek, Head of Stresstesting, Credit Risk Simulations at ERSTE GROUP Development and redevelopment of complex, statistical, IRB compliant Rating Models for PI and Micro in several CEE countries. Development of various Application scorecards. Considerable experience with model implementation, cut-off setting, PD impact, RWA, SCR calculation as well as model monitoring and validation. Training and passing know how to new colleagues and to subsidiaries. Regular portfolio analysis and reviews, MIS report updating and development. Ad hoc reporting. RWA Simulation, stress testing, SRC/ERM Calculation, Concentration Risk.
		Dr. Donald Baillie, SAS Head of Risk Practice DACH & Prof. (FH) at Lauder Business School Prof. (FH) Dr. Donald Baillie ist als Risikomanager (GARP FRM), Analytics Professional (INFORMS CAP) und Aktien- und Optionshändler der Wiener Börse zertifiziert. Er verfügt über mehr als 25 Jahre internationale Erfahrung im Bereich Finance und ist derzeit Head of Risk DACH bei SAS. Daneben lehrt er an der Lauder Business School.
		Peter Plochan, SAS Principal Risk Management Advisor & PRMIA Risk Management Trainer Peter Plochan is Principal Risk Management Advisor at SAS Institute assisting institutions in dealing with their challenges around finance and risk processes and over the last couple of years with strong focus on Climate Risk. Peter has 15+ years of experience in risk management in financial sector and has assisted various banking and insurance institutions with large-scale risk management implementations while working both internally and also externally as a risk management advisor (PwC). Peter also develops and delivers Climate risk management trainings and webinars on behalf of various organization such as PRMIA, Risk.NET, Bluecourses and Peter is member of the PRMIA Vienna Chapter Steering Committee.

PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].