Agenda

Agenda

Day 1

Wednesday 23rd May 2018

08:30

Registration and refreshments

09:00

Introduction: Stress Testing in 2018 and beyond

  • Introduction
    • Speaker introduction
    • Delegate introductions & learning objectives
  • 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: Nick Tracey, Head of Planning & Stress Testing, Barclays

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: Diederick Potgieter, Risk Specialist, Bank of England

12:30

Lunch

13:30

Scenario Analysis

  • Identification of key risks from a stress testing perspective
  • Determination of relevant stress scenarios
  • How severe should a stress scenario be?
  • Scenario design and implementation
  • How to quantify the likelihood of a scenario
  • Stress Scenarios for the current rate environment

Speaker: Imran Syed, Market Risk Stress Testing, Credit Suisse

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: Cecilia Gejke, Former Head of Stress Testing, Nordea

17:00

End of day one

Day 2

Thursday 24th May 2018

08:30

Refreshments

09:00

Stress Testing Operational Risk

  • Quantitative vs. qualitative models for stressing operational risk
  • Developing a methodology 
  • Best practice in operational risk stress testing
  • How to use peer data for operational risk models
  • Stress testing in conjunction with broader business environment and forecasting 
  • Review current guidelines and best practice approaches

Speaker: Ruben Cohen, Independent Consultant

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: Matthew Salisbury, Senior Manager, Commercial Banking Risk, Stress Testing, Lloyds Banking Group

12:30

Lunch

13:30

Reverse Stress Testing

  • Why do the FCA want reverse stress testing?
  • Reverse stress testing requirements
  • Building a reverse stress test
  • Reverse stress testing for credit risk
  • Reverse stress testing for liquidity risk

Speaker: Rutang Thanawalla, Stress Testing for Recovery Planning, London Institute of Banking & Finance

15:00

Afternoon break

15:30

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: Ahraz Sheikh, Independent Risk-Modelling Consultant and author of 'Firm-wide
stress testing and economic capital', Published by Risk Books

17:00

End of course