Agenda

Agenda

Day 1

Wednesday 3rd June 2019

08:30

Registration and refreshments

09:00

Understanding and Defining your Stress Testing: Today and Beyond

  • Key features of a stress test – data management, scenario generation, stress modelling, management actions through to reporting
  • Key themes identified in banks stress testing results
  • Quantitative and qualitative aspects of stress testing – delivering increased transparency and traceability
  • Stress testing in growing uncertainties: Identifying/stressing your known unknowns
  • Regulatory approach to stress testing: tick boxing vs value added (and where should key focuses be going forward)
  • Technological advancements around stress testing: where Regtech and new age technologies can be applied within Stress testing

Speaker: Paul Dobbs, Managing Consultant, Catalyst Development

10:30

Morning break

11:00

Model Risk & Validation

  • The need for model risk validation in stress testing
  • Are we any closer to having an aggregate measure for model risk
  • 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

 Speaker: Diederick Potgieter, Senior Technical Specialist, PRA, Bank of England

 

12:30

Lunch

13:30

Data Management

  • Data requirements for effective stress tests
  • Common pitfalls of data management – techniques to avoid
  • Operationalising data quality
  • Implementing a data quality strategy

Speaker: Ahraz Sheikh, Director, Parker Fitzgerald

 

15:00

Afternoon break

15:30

Gaining Business Value from Stress Testing

  • Why stress testing is fundamental, aside from meeting regulations
  • How do we use stress testing in daily operations?
  • Developing consistent approaches to make use of stress testing results and improve strategic decision making
  • Risk mitigation and efficient use of capital
  • Continually improving your stress testing function
  • Impact on operations and financial performance

Speaker: Juan Ramirez, Managing Director, Deloitte

17:00

End of day one

Day 2

Thursday 4th June 2019

08:30

Refreshments

09:00

Integrated Stress Testing    

  • The links between economic capital, liquidity risk and stress testing
  • Modelling intra- and inter-risk dependencies
  • Reverse stress testing as part of a holistic stress test
  • Portfolio, balance sheet and off balance sheet projection models
  • Integrated approach reducing infrastructure costs
  • Providing scalable stress testing framework

Speaker: Alexandros Gabrielsen, Director, Deputy Head of Enterprise Risk Management for International Wealth Management, Credit Suisse

 

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

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, Risk Modelling, Aon

15:00

Afternoon break

15:30

Liquidity Stress Testing

  • ESMA liquidity stress testing guidance
  • Why is the ECB putting liquidity at high priority in 2019?
  • Reverse stress testing for liquidity risk
  • Using liquidity stress tests to add information to an effective liquidity profile
  • Major components of liquidity stress tests

17:00

End of course