Credit risk management (Loan Origination and Monitoring)

• Risk professionals and executives

Credit risk, i.e. the risk of one or more of your borrowers defaulting on their obligations towards their institute, remains the primary risk category for most banks. As such it is subject to evolving practices and regulatory requirements. With non-performing loans projected to rise and defaults looming on the horizon, attention on credit risk is once again at a high point.

This course will enable participants to:

• understand the regulatory background of credit risk measurement and management;
• understand economic aspects of credit risk measurement and management as well as risk-adjusted loan pricing;
• understand regulatory expectations (in particular the EBA guidelines on Loan Origination and Monitoring) and best practices related to credit risk measurement.

• Overview of credit risk (sources of credit risk, types of credit risk)
• Relevant regulation on credit risk (in particular the EBA guidelines on Loan Origination and Monitoring)
• Measuring credit risk in line with regulatory requirements
• Measuring credit risk from an economic point of view
• Risk-adjusted loan pricing
• Case studies

This training is coordinated by Birgit Schalk, Director at PwC Luxembourg.

Birgit Schalk is a director and credit risk modeller specialising in governance, credit processes, and risk management. With over 4.5 years at ING Group focusing on low default portfolios, she rejoined PwC in 2014, working in Austria and Belgium where she led credit risk management teams and supported ICAAP projects. Since 2019, she has been part of PwC Luxembourg’s Risk and Compliance team, assisting with ICAAP, recovery planning, and credit risk processes. Birgit actively contributes to PwC’s internal credit risk community, covering modelling, model risk management, and credit risk processes. Her expertise includes CRRIII/CRD VI implementation, credit risk management, climate-risk integration, and recovery planning, supporting banks in regulatory compliance and risk frameworks.