Past Event: Monday, May 19, 2025

As regulatory frameworks continue to evolve, financial institutions are reassessing their approach to credit risk modelling—balancing the use of IRB approaches with standardised models, while increasingly exploring the potential of advanced modelling techniques.

This shift reflects growing regulatory expectations, rapid technological developments, and the need for robust, forward-looking risk practices that can support both compliance and strategic decision-making.

In this one-hour webinar, we will explore the key trends shaping the future of credit risk modelling, with a particular focus on:

  • The balance between IRB and the standardised approach
  • The adoption and value of advanced modelling techniques
  • Specific challenges in modelling low-default portfolios
  • The role of external data in enhancing model performance
  • How changes in regulatory capital approaches impact IFRS 9

The session will feature a keynote address by a representative of the regulator, followed by a panel discussion with experts from leading European banks.

This hybrid event will take place in person at at our Madrid office building, with the option to join online. It is designed for professionals working in risk management, quantification, and credit risk modelling who are navigating the evolving landscape of regulatory and modelling practices.

 

Agenda

16:45 h. Guest Reception.

17:00 h. Welcome by Francisco Catena, President of Club de Gestión de Riesgos and Santander Spain Chief Risk Officer.

17:05 h. The event will open with a keynote speech by Stephen Woulfe, Head of Division at the European Central Bank, who will address key trends in regulation and supervisory inspections and Dwayne Price , Risk & Advisory Partner at Grant Thornton Ireland

17:25 h. Introduction by Daniel Fernández, Financial Advisory Partner at Grant Thornton.

  • Setting the scene with the introduction of topic and current state of regulation and industry practice.
  • Introduction of our survey on the future of internal models.
  • Introduction of the objectives of the discussion.

17:35 h. Panel discussion with senior professionals from leading European banks, moderated by Ángel Mencía, senior financial risk expert with over 30 years of experience. 

Panelists:

  • Ruth Manso Díaz, Group Head Credit Risk Internal Validation in Santander.
  • Ricardo García Martín, Global Head of GRM Data & Analytics in BBVA.
  • Rémy Haimet, Managing Director, Regulatory Watch (Basel III) in Société Générale.
  • Arjan de Ridder, Head of Model Risk Management in ING.

Topics of discussion:

  • IRB vs. Standardised Approach: Industry trends & strategic choices.
  • Advanced Modelling Techniques: Adoption, benefits & challenges.
  • Modelling of Low Default Portfolios: Key modelling challenges, use of external data, and implications for IRB and IFRS 9 models.
  • Impact of IRB/Standardised Approach Changes on IFRS 9 Models.

18:15 h. Q&A & Closing Remarks. Audience questions, key takeaways and next steps.

18:30 h. Networking & Cocktail.

Meeting Place & Online

Paseo de la Castellana, 81, Madrid

Get directions