Agenda

Agenda

Course Agenda

Day 1

Wednesday 27th February 2019

9:00

Registration and refreshments

9:30

Regulatory Update and Risk Appetite for Scenario Design

  • CCAR regulatory update
  • Where are we now? Understanding the latest guidance
  • Interactions with other regulations
  • Key scenario design considerations
  • Setting parameters and utilizing results
  • Relationship between risk appetite, scenario design and stress testing

11:00

Morning break

11:30

CCAR governance: Developing a Best Practice Approach  

  • Managing stakeholder expectations in a changing regulatory environment
  • Striking a cadence for board, senior management and regulator engagement between CCAR cycles
  • Governing/managing continuous improvement across elements within the equation "data + models = estimation output"
  • Aligning local requirements within global needs for foreign banking organizations

 Kevin J Clarke, Executive Director, Group Regulatory and Governance – Americas, UBS

1:00

Lunch

2:00

Expectations Beyond DFAST

  • Update on regulatory requirements
  • DFAST vs. SR 12-7 guidance
  • Stress testing for decision-making
  • Stress testing for effective risk management
  • Common stress testing mistakes

3:30

Afternoon break

4:00

Model Risk

  • Use of models under CCAR and addressing specific related challenges
  • Identifying model risk
  • Strategies to approach model benchmarking
  • Effective model validation
  • Understanding PPNR model requirements

5:30

End of day one

Day 2

Thursday 28th February 2019

9:00

Refreshments

9:30

AI and Machine Learning for Enhancing Stress Testing

  • Optimising  the stress testing process
    • Analysing large amounts of data
    • Limiting the amount of variables needed in the scenario analysis
    • Increased transparency
  • Aiding modelling
  • How can AI and ML help to increase efficiency and response times
  • DFAST and cost efficiency

11:00

Morning break

11:30

Leveraging Basel and Stress Testing Models for CECL

  • Overview of CECL
  • Understand the latest regulatory guidance and implementation issues
  • Regulatory expectations for consistency and overlap of CECL/DFAST/CCAR
  • Linkage between stress testing and CECL – Capital planning integrated with the business
  • Are there benefits to combining your DFAST & CECL approach?

Dr Michael Jacobs, Senior Quantitative Analytics & Modelling Expert, PNC

1:00

Lunch

2:00

Liquidity Stress Testing and CLAR

  • Incorporating a level of liquidity risk in stress testing and reviewing CLAR requirements
  • Why is it important to consider the interconnectedness of CCAR and CLAR?
  • Overcoming challenges in monitoring and reporting
  • Understanding key complex regulatory requirements
  • Liquidity and resolution planning

Speaker: Sunil Gangwani, Co-Founder, Plootus and Former GE Capital Risk and Finance Executive

3:30

Afternoon break

4:00

Role of Internal Audit in Capital Planning

  • Key control elements
  • Reporting
  • Risk weighted assets validation
  • Attesting validity of stress testing data

5:30

End of course