Agenda

Agenda

Day 1

Wednesday 28th November 2018

08:30

Registration and refreshments

09:00

Introduction: Stress Testing in 2018 and beyond

  • Why is stress testing important?
    • Regulatory approach to stress testing
    • Stress testing for capital adequacy and risk management
  • What does good look like?
    • Analysing the Bank of England Nov 2017 stress test results
    • Key features of a stress test – scenario expansion, stress modelling, management actions
    • Quantitative and qualitative aspects of stress testing – improving stress test results
  • The future of stress testing
    • 2018 vs 2017 PRA stress test. What has changed and what has stayed the same (capital hurdles & IFRS9)?
    • Horizon scanning – stress testing in an uncertain and complex world (dealing with structural, geopolitical and regulatory change)

Speaker: Paul Dobbs, Managing Consultant, Catalyst Development Ltd

10:30

Morning break

11:00

Model Risk & Validation

  • Regulatory developments in model risk management
  • Emerging and current best practice approaches to model risk management
  • Challenges in managing stress test model risk
  • PRA's model risk management principles for stress testing
  • Model definition and coverage of stress test models
  • Governance, roles & responsibilities
  • Validation and Independent review

Speaker: Rupak Dasgupta, Senior Risk Specialist, Bank of England - PRA 

12:30

Lunch

13:30

The Results of the EBA Stress Test 2018 

  • Outcomes of the Stress Test in terms of capital, risk exposure and business model 
  • Scenario input provided by the EBA; presenting and discussing the concept of neutralizing 
  • Reception of the outcomes in the financial press and asking the question: was the first reaction by the financial press adequate? 
  • Findings about how 2017 drivers can predict high exposure to stress conditions in 2020 
  • An interactive session in which much graphical case material will be presented 

Speaker: Marco Folpmers, Managing Director Finance & Risk Benelux, Accenture

15:00

Afternoon break

15:30

Gaining Business Value from Stress Testing

  • Developing consistent approaches to make use of stress testing results
  • Risk mitigation and efficient use of capital 
  • Overview of drivers, impacts and stress testing types
  • Using stress tests in day-to-day business activities 
  • Impact on operations and financial performance 
  • Using stress testing results to improve strategic decision making 

Speaker: Juan Ramirez, Director, Deloitte 

17:00

End of day one

Day 2

Thursday 29th November 2018

08:30

Refreshments

09:00

Integrated Stress Testing    

  • The generalised structure of risk type models 
  • The links between economic capital, liquidity risk and stress testing 
  • Modelling intra- and inter-risk dependencies
  • Portfolio, balance sheet and off balance sheet projection models 
  • Future improvements to firm-wide stress testing 

Speaker: Paul Dobbs, Managing Consultant, Catalyst Development Ltd

10:30

Morning break

11:00

Stress Testing Under IFRS 9

  • Three stages of recognising impairment
  • Measuring expected credit losses
  • Front loading loan losses at the start of recessionary scenarios
  • Scenarios definition and calibration
  • Probability weighting scenarios
  • Migrating assets through the three stage process

Speaker: Jose Luis Chauca, Independent Consultant 

12:30

Lunch

13:30

End of course