Advanced Credit Analytics Panel Discussion

Transcription

1 Advanced Credit Analytics Panel Discussion Panelist: J Scott Davis (Alliance Risk Group) Tony Ross (Woodforest National Bank) Sami Walker Tayfel (Suncor Energy) October 3 rd 2017

2 Question #1: How has the evolution of credit analytics changed over time taking into consideration changing analytical methodologies and turning point events that instigated a need for modification in the following areas? A: Credit Recommendations and Scoring B: Forecasting C: Portfolio Management 2

3 Question #2: Credit vs. Performance risk. How has the world of credit analytics changed when analyzing different business contracts? 3

4 Question #3: What analytical adjustments are made to existing exposure calculations when market risk has a divergent interpretation of potential exposure than credit? Examples: A: Tolling Agreements B: Natural Gas Transportation Agreements 4

5 Question #4: What valuation process is used to calculate credit exposure for financial derivatives with counterparties in Over-The-Counter (OTC) transactions? A: Are there situations that require specific contractual valuation frameworks to calculate credit exposure such as when margining? 5

6 Question #5: What trends are on the horizon that could have a substantial change to the manner in which energy credit risk management is practiced in the future? A: Predictive Analytics B: BASEL III requirements C: Block Chain Technology D: Increasing Automation 6

7 Panelist Biography J Scott Davis The Alliance Risk Group Director Houston, TX sdmellon@mac.com Education Master of Science, Carnegie Mellon University BA Political Science, University of Maryland Baltimore County Functional Highlights Designed and implemented various financial credit models which included, Potential Future Exposure (PFE), walk-forward calculations and watch-list indicators used in the daily management of the credit portfolio. Managed credit analytics teams responsible for structuring and reviewing of complex commodity transactions. Responsibilities included quantitative analysis of the potential future exposure (PFE) of credit & liquidity for physical and financial products. Director of Credit Risk responsible for all US wholesale credit transactions for physical gas, power and financial products. Modeled collateral forecasting projections in support of commodity wholesale transactions. Financial modeling and credit review of counterparties both new and established. Monitored watch-list of lead indicators; CDS spreads, implied ratings and probability of default projections. Developed and implemented Energy Credit Supply Program, providing credit for retail energy providers collateralized by lien on assets of the company. Managed many projection in the assimilation of numerous mergers and acquisitions into acquiring organization. This included the integration of large wholesale credit portfolios into existing wholesale portfolio. Lead collateral management groups, that included margining and daily compliance of exposure positions within counterparty established limits. Managed credit facilities and reconciliation of applicable fees for cost efficiency. Reporting of liquidity positions and forecasting of future collateral requirements. Managed team that designed and implemented numerous credit software systems. Design of all credit reports, analytics and calculations within the system. Revised credit policy to encompass expanding credit system capabilities. Rewrote and enforced policies and procedures for daily credit operations including SOX procedures and Key Controls.

8 Panelist Biography Tony Ross Woodforest National Bank Executive Vice President & Chief Credit Officer The Woodlands, TX Education M.B.A. with honors from the Crummer Graduate School of Business at Rollins College B.S. in Geology, Washington & Lee University Functional Highlights Tony Ross 29-year career in banking has included general management, new business development, credit analysis, credit administration, and capital markets experience. Areas of expertise include corporate, commercial, small business, and consumer underwriting, credit risk, real estate risk, loan review, and credit policy. Industries of focus have included oil and gas E&P, energy service, commodity marketing & trading, healthcare, commercial real estate, insurance, agrifood, rail roads, utilities, and media/telecommunications.

9 Panelist Biography Sami Walker-Tayfel - Suncor Energy Team Lead, Credit Risk Management Calgary, Alberta, Canada swalkertayfel@suncor.com Education B.A. in Economics, minor Biology, University of Calgary Functional Highlights Suncor Energy Gas, Power, Financial, Supplier and Collateral and Systems portfolios for the Upstream credit group Epcor Utilities and Capital Power focusing on projects, wholesale credit and systems Direct Energy Marketing Limited focusing on retail credit and contracts HSBC Bank as a Commercial Account Manager