Questions under discussion include:
- Since mid-2007, credit risk practices at financial institutions have come under fire from a variety of angles. Can you briefly describe where you think credit risk practices went wrong at financial services firms?
- What limitations do you see in the way firms analyse loans, both at the point of making them and in how they analyse their loan portfolios?
- How could regulators improve the way they examine credit risk, to help both themselves and financial firms gain a more accurate picture of loan portfolios?
- How do you approach portfolio credit risk modelling? What balance do you seek to strike between quantitative and qualitative factors?
- What types of portfolio quantitative models do you use and how do you go beyond gap allowance modelling to assess potential losses?
- How do impairments drive your model and what are the differences between your analysis and the bank's internal spreadsheets that may have been provided to an investor?
- Do you think banks will change the way they initially grant loans as part of the overhaul of credit risk. Will qualitative factors become more important than they are at present?
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