14:30
17/04/2026 - 16:00 - ISBA C.115 + Online -
(European Investment Bank)
Will give a presentation on :
This presentation provides a brief introduction to how regulatory probability of default (PD) is estimated for low default portfolios, with a focus on the practical implementation of internal ratings, their mapping to PD curves, and the application of conservative adjustments. Emphasis will be placed on prudential requirements, the associated model risk, and calculation practices rather than theoretical modelling, with examples drawn from regulation and wholesale exposures in banks.
About the speaker: Benoit Berac received his master's degree in statistics at UCLouvain in 2014. He has 20 years of experience in banking regulation, specializing in the implementation of CRR calculation projects and the integration of risk model outputs within banking computation systems.
Teams Link: https://teams.microsoft.com/meet/34910478870806?p=vyE6a6ikzLyEbDsMdW