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Credit Risk Modelling for Banks - 3rd Annual Practitioners' Forum
19 - 20 October 2021
Venue TBCLondon

Maria Kostova
Lead Quantitative Specialist at CRISIL Ltd


Maria Kostova has over 15 years of experience within the Model Methodology, Validation and and Model Risk Assessment functions in Global Corporate Investment Banking entities with a focus on quantitative analytics for valuation and risk management of retail and corporate assets, regulatory and economic capital forecasting, scenario generation, impairments computation, expected credit loss measurement, margin of conservatism adjustments for credit and capital models, asset-liability management and best practice approaches for Risk Weighted Assets (RWA) variability reduction for hybrid portfolios. Her specialisation includes linear and logistic regression models and methodologies, interpolation techniques, propensity score matching, stochastic distributions, calibration and correlation assessments for retail products and underlying sensitivities based on structure of interest rates, maturities and expected positive exposures. Her excellent understanding of regulatory frameworks and accounting principles include the areas of model design, development, validation methodologies, governance, attestation, documentation, processes and controls oversight. Maria Kostova’s banking experience incorporates exposure to US, Europe and UK regulatory standards in compliance with Basel Capital Frameworks and requirements as directed by the Federal Reserve Board, EBA and the PRA.

Agenda Sessions

  • Panel Session: Validation techniques and assessments for IFRS 9 and IRB Models