Loss Given Default: Modeling, Validation and Stress Testing
This workshop has already taken place.
This LGD workshop provides a full overview of all LGD related concepts, from LGD model development to validation and stress testing, and includes our recent research on a benchmarking study of state-of-the-art regression techniques on five real-life LGD datasets. We are also very pleased to have dr. Tony Bellotti as a guest speaker, who will discuss his renowned work on macro-economic modeling for LGD and stress testing.
This workshop has already taken place.
This LGD workshop provides a full overview of all LGD related concepts, from LGD model development to validation and stress testing, and includes our recent research on a benchmarking study of state-of-the-art regression techniques on five real-life LGD datasets. We are also very pleased to have dr. Tony Bellotti as a guest speaker, who will discuss his renowned work on macro-economic modeling for LGD and stress testing.
| Date: | 8 October 2009 |
| Location: |
Restaurant Arenberg  |
| Rotspoelstraat 5 | |
| 3001 Heverlee | |
| Registration fee: |
Including lunch and VAT |
| 450 Euro for early registration (before September 25th) | |
| 550 Euro for late registration | |
| 200 Euro academic fee (for full-time students and academics) | |
| Register here | |
| Transfer of registration fee to a colleague is always possible. | |
| Full reimbursement of registration fee until September 25th. |
| Speakers
|
|
| Invited speaker: | |
| dr. Tony Bellotti | |
| Research fellow | |
| University of Edinburgh | |
| prof. dr. Bart Baesens | |
| Professor Risk Management | |
| K.U.Leuven, University of Southampton | |
| dr. ir. David Martens | |
| Lecturer and Risk Management Consultant | |
| MarFintel, Hogeschool Gent, K.U.Leuven |
| 13.30 - 14.00 | Registration |
| 14.00 - 14.45 | LGD in the context of Basel II |
| 14.45 - 15.30 | Measuring and defining LGD: issues and challenges |
| 15.30 - 16.00
|
Break
|
| 16.00 - 16.45 | Modeling and Calibrating LGD using state-of-the art techniques |
| 16.45 - 17.30 | Validating and stress testing LGD: recent insights and applications |
| 17.30 - 17.45
|
Break
|
| 17.45 - 18.45 | Invited talk by dr. Tony Bellotti |
| Building models of consumer LGD with macroeconomic data to improve estimation and enable stress testing | |
| - How to include macroeconomic variables in models of LGD | |
| - Evidence showing improved estimation of LGD at account and aggregate levels | |
| - Using the models for stress testing and estimation of downturn LGD
|
|
| 18.45 - 19.00 | Conclusion and discussion |
| 19.00 - 21.00 | Networking drink and closing diner |