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Event

Navigating IRB Repair Challenges and Low-Default Portfolios

September 16, 2025 | Copenhagen, Denmark

Details

September 16, 2025
2:15 PM - 5:30 PM

In-Person

Nordea Bank Headquarters
Nordea Bank Headquarters, Grønjordsvej 10, 2300 København, Denmark

Contact

Questions can be directed to GARP Events at events@garp.com.

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Overview

The EBA IRB Repair program opened the door for large swathes of IRB model re-submissions, re-calibrations, and reviews. As regulatory expectations intensify, risk management executives at financial institutions across Europe are confronting the dual challenge of enhanced supervisory scrutiny and the technical complexities of LDP modeling. The risk management community must therefore navigate complex trade-offs between model sophistication, data limitations, and strategic IRB coverage decisions. 

 

This exclusive roundtable brings together senior risk leaders to address these critical areas, including overcoming the inherent modeling challenges in LDP segments where traditional statistical approaches fall short; evaluating emerging-market solutions and data-sharing initiatives that promise to bridge critical information gaps; and developing strategic frameworks that balance IRB capital benefits against the escalating costs and complexity of model development and maintenance. 

Registration Closed

Agenda/Schedule

*Date and Time noted as

    September 16, 2025

    • Data Scarcity and Validation Challenges: How are institutions addressing limited default observations while developing robust validation techniques? What minimum data thresholds and alternative validation methods have proven most effective?
    • Regulatory Acceptance Strategies: What model documentation, validation evidence, and implementation approaches have supervisors found most compelling for LDP approvals?  
    • Data Sharing and Vendor Solutions: What consortiums, data pooling initiatives, and third-party solutions are delivering measurable value? How are firms evaluating ROI and overcoming implementation barriers?
    • Technology Integration and Data Quality: How are external LDP solutions being integrated with existing risk systems? What governance frameworks ensure data consistency and regulatory compliance?
    • Emerging Technologies and Innovation: What new approaches (AI/ML, alternative data) show the most promise for addressing LDP challenges? Which experimental solutions are gaining market traction? 
    • On the 28th July the ECB published its revised guide to internal models. What are your first impressions of the new EGIM?
    • With regards to Credit Risk, there have been updates made on IRB roll-out, Permanent Partial Use (PPU) and expectations of the Second and Third line validation.  Are these helpful or do they simply give rise to further questions? 

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