Webinar – IRB Hot Topics Part 2

Dear all

The regulatory landscape for European banks continues to present ongoing challenges. The European Banking Authority (EBA) has outlined its vision for the future of the Internal Ratings-Based (IRB) approach, which will be implemented within the next two to three years. Low default portfolios (LDP) portfolios are on the immediate agenda of regulators and for the years to come they would be mostly focused upon and would be reviewed intensively.

We will discuss on this webinar about what makes such models successful, given the expected difficulties due to the low number of defaults and the lack of rating coverage. We would provide you our views about the expectations from the regulators and how to best address these in your LDP. Indeed, already this year, several financial institutions experienced setbacks in their IRB Repair programs which were mostly related to LDP. We would discuss in full length the reasons for these.

Additionally, the European Central Bank (ECB) has released publications outlining their supervisory expectations about the Climate and Environmental (C&E) factors to be taken into consideration for the model development and should be part and parcel of all IRB risk modes.

Furthermore, after all investment done in the last decade in enhancing both IRB and IFRS 9 models, it is a growing market trend to search for synergies and ensure consistency across common data (risk drivers), assumptions and processes.

This Webinar will be led by our international experts and will be structured as follows:

• Evolving IRB requirements in 2025 in what concerns modelling in the context of LDPs. Most of the recent IMIs revealed significant deficiencies with respect to the LDP portfolios, at a time when the new segmentation rules would be creating the necessity for model redevelopment for some segments.

• Integrating C&E factors into risk parameters. What are the key market observations that would lead the C&E factors to be considered in the modelling space

• Integration of IFRS 9 and IRB: divergence Vs. convergence. What are the aspects where the IFRS9 modelling framework might be leaning towards the IRB modelling one?

The webinar will be comprised of a presentation section on the referred subjects, and a 30 min Q&A session, where we will address all your questions received during the session.

The webinar will only accessible for the clients of the PwC network. And the registration will be conducted through an internet portal.

Kind regards Registration