PRIMA GLOBAL event series

Inaugural PRMIA Global Event Series a Success

The February PRMIA Global Event Series, which focused on credit risk measurement and management, took place in 22 PRMIA chapters around the world. More than 1,400 people attended the February Series. Attendees had the opportunity to hear from industry-leading experts and share with each other through discussions of current best practices in risk management.

PRMIA is grateful to Algorithmics, Axiom SL, Calypso, CFA Institute, d-fine, Fermat, PRMIA Institute, RiskMetrics, and Sungard for their sponsorship of the February Global Event Series.

EVENT HIGHLIGHTS

Italy — Rischio di Concentrazione e Rischio di Credito: implicazioni sul secondo pilastro della nuova normativa di vigilanza prudenziale delle banche
“The panel of speakers at PRMIA Italy's credit risk event included Enzo Serata of Bank of Italy, Andrea Resti and Giampaolo Gabbi from SDA Bocconi, Renato Maino of Intesa Sanpaolo, and Emerico Amari of PRMIA. The meeting was held at Bocconi University in Milan. All speakers are well known in Italy in the financial industry and specifically in the RM sector. The number of delegates exceeded 120.

After a brief introduction on PRMIA profile and activities, speeches were focused on the impact of Basel second pillar regulation on banks through three different perspectives: supervisory, academics and practitioner. Bank of Italy representatives provided an overview on regulation, and Prof. Resti's speech was focused on illustration of methodology to measure concentration risk according to an internal measurement model, Dott. Maino illustrated a practical experience of concentration and credit risk measurement adopted in Intesa Sanpoalo through the use of advanced methodology and tools.

Some questions followed the qualified speeches showing an in-depth interest from the audience.”
- Emerico Amaria, PRMIA Italy Regional Director

Tokyo — Credit Risk Conference
“PRMIA Tokyo held a Credit Risk Conference on 25 Feb, featuring 3 guest speakers. The event had over 60 people in attendance. We thank Reuters for being our sponsor.”
- Dezuka Koichi, PRMIA Tokyo Regional Director

Munich — Exchange Based Credit Risk Trading
“The presentation of Steffen Grass on "Exchange based credit risk trading" attracted large interest in the world-wide unique bourse for credit parts. In a "back-to-basics" market environment, where the underlying loans move in the focus of investors, the timing of the launch could not be better.”
- Dominik Dersch, PRMIA Munich Regional Director

Minneapolis — Credit Risk Modeling Forum
“PRMIA Minneapolis' 2008 event schedule got off to a good start, after a long period of inactivity. Attendance at the February 29 Credit Risk Forum was encouraging, and participant reactions to the content and networking opportunity were positive.”
- Steve Lindo, PRMIA Minneapolis Regional Director

Calgary — Assessing Mid-Market and Junior Corporate Credit Risk
“Mark Williamson and Tracey Bean of the TD Bank presented an overview of their credit risk assessment process and how these assessments are used to manage and monitor ongoing counterparty exposures. Approximately 30 attendees enjoyed a lively discussion on credit risk led by Mark and Tracey. The event was generously sponsored by SAS/Risk Advisory.”
- Scott Dalton, PRMIA Calgary Regional Director

London — Credit Risk Event
About 160 people gathered at Grocers' Hall near the Bank of England to hear presentations from two speakers:

Jon Gregory, Global Head of Credit Quantitative Analytics, Barclays Capital and
Stefan Loesch, Executive Director, Credit Risk, JP Morgan.

Gregory highlighted some key considerations from the CDO markets. One important point he made was the need for greater attention to the potential risk from feedback effects when particular strategies or pricing techniques become widely adopted. He argued there is a greater role for fairly simple structural models that often reveal cause and effect relationships more readily than do highly complex models that can be difficult to calibrate.

Loesch discussed the issue of portfolio concentration risk. One of his key points was that portfolio choices based on risk adjusted returns can be very different depending on the risk model chosen. In particular, models that focus on extreme tail risk may yield different optimal portfolios than ones based on variance of returns that is dominated by behavior in the middle 98% of the distribution.
- David Rowe, PRMIA London Steering Committee Member

Venezuela — Credit Risk
“Our event was great; we spent about two hours discussing a topic that is well related with our current credit risk. Our speaker went through a credit collaterization with specific examples related with consumer credit. This type of credit has been growing quickly internally; as a result, credit risk has been exponentially increasing.”
- Karina Carrero, PRMIA Venezuela Regional Director

Washington DC — Credit Risk & Basel II Post Subprime
“We are very pleased by the strong turnout and the diversity of opinion expressed by the speakers and the participants. A very frank exchange of views occurred today. This can only help risk practitioners better understand the tough conditions in the markets. We look forward to working again with our colleagues at the CFA Institute and our speakers in future events.”
- Chris Whalen, Washington DC Co-Regional Director

Sweden — Credit Outlook 2008 — Subprime Angst, Part III
“The event attracted a record high number of the PRMIA Sweden Chapter members. The presentation was most enjoyed, as the subject is on risk professionals’ daily agendas and as Mr. Landeman, Head of Credit Research Trading Strategy at SEB, is an eloquent speaker as well as a brilliant pedagogue.”
- Cecilia Ardström, PRMIA Sweden Regional Director

Boston — Credit Risk Roundtables
“The Boston Chapter hosted several roundtable discussions. Each table was hosted by a moderator who introduced a topic and then promoted interactive and lively discussions. All attendees appeared to engage actively in these discussions and seemed very interested in the topics, including residential real estate, the outlook for corporates, and collateralized fund obligations. Attendees also had time to enjoy refreshments and to network with each other.”
- Ed Dumas, PRMIA Boston Regional Director

Shanghai — Credit Risk Forum
“200 Chinese bankers and academics, plus 40 foreign delegates and speakers, gathered at the East China Normal University for PRMIA's first Shanghai event — a one day forum to hear about recent developments in Chinese risk management, with a heavy emphasis on Basel II implementations, and to discuss how China would handle the risk management and capital allocation new requirements. With official Chinese speakers from government and academia mixed with presentations from Western banks, consultancies and rating agencies, the event overflowed its venue and filled the aisles, ending with a lively panel discussion with all speakers, and bringing in many new PRMIA converts to membership and the PRM exam.”
- David Millar, PRMIA Chief Operating Officer

Hyderabad — Credit Risk Management
“Fifty-four senior managers attended the Hyderabad event. Participants were from banks, insurance companies, management education institutions and funding institutions. Specific comments left by participants included, "It is a great value addition for a very small price," "Logistics have been excellent," and "We have learned a lot from Prof. Connelly. We shall take the ideas to the drawing Board of Risk Management.”
- Yerram Raju, PRMIA Hyderabad Regional Director