Stress Testing: Latest Developments and Best Practice London
This training course will provide attendees with a comprehensive understanding of the stress testing process and give best practice examples from leading financial institutions.
This two day course will delve into the latest stress testing best practices, providing attendees with a comprehensive overview of regulations and key developments in the field.
Day one of the course will present an overview of stress testing in 2018, model risk and validation, stress scenarios, and a look at how to use stress testing results to improve strategic decision making.
Day two covers topics including why the FCA wants reverse stress testing, an insight into stress testing under IFRS9, the best practice in operational risk stress testing, and integrated stress testing.
The course is held under Chatham House Rule to promote an open and discussion based learning environment and the sharing of best practice approaches.
- Model risk & validation, including scenario definition and calibration
- Scenario analysis with examples of stress scenarios for the current rate environment
- How you can embed stress testing into your decision making process and governance strategies
- Reverse stress testing and how to build such tests
- Quantitative vs. qualitative stress models for stress testing operational risk
- The links between economic capital, liquidity risk and stress testing
Who Should Attend
This course is primarily aimed at those working in or looking to update their knowledge on stress testing, however Risk welcomes anyone to whom the training would be of benefit. Specific job titles may include but are not limited to:
- Stress Testing Analysts
- Stress Testing Operations
- Risk Modelling
- Scenario Analysis
- Economic Capital Modelling
- Market Risk
- Credit Risk
- Risk Reporting
- Model Development
- Internal Audit
- Compliance and Reporting
- Basel III Compliance
Senior Risk Specialist
Bank of England - PRA
In April 2018, the Prudential Regulation Authority published a supervisory statement setting out key themes around effective model risk management for stress testing models.
The supervisory statement outlines four principles, which address the need for a comprehensive governance framework, including clear identification of models and purpose, an appropriate governance structure, defined roles of stakeholders, model developers, model owners and control functions. For model life cycle management, key themes include development, validation, independent review, use of judgement, implementation and the use of models supported by adequate documentation and appropriate levels of reporting to senior management.
In this session, Rupak will discuss the four principles on model risk management for stress testing outlined in the supervisory statement, as well as offer thoughts on model risk management and governance structures more generally.
A Director in the Banking and Capital Markets group at Deloitte
He has been involved in a good number of projects around Basel regulatory capital, risk management, prudent valuation and IFRS 9 accounting
Prior to joining Deloitte Juan worked 20 years in investment banking in derivatives front office at JP Morgan, Lehman Brothers, Barclays Capital, Santander and BNP Paribas. Juan holds an MBA from University of Chicago and a BSc in electrical engineering from ICAI in Madrid
Juan is the author of the books “Accounting for Derivatives”, “Handbook of Basel III Capital” and “Handbook of Corporate Equity Derivatives and Equity Capital Markets.
Catalyst Development Ltd
Paul is a risk and regulatory specialist having worked within the sectors of banking and capital markets for 15+ years; initially within banking, a global credit rating agency and then risk (including analytics) & regulatory technology. The combination of hands on practical experience combined with the knowledge of the key technologies implemented across the banks operating models has allowed Paul to better understand the key processes and workflows impacting their day-to-day operations. His product knowledge spans across fixed income, derivatives/structured credit, equities through to alternative investments
Jose Luis Chauca
Following success in New York, we are bringing our cyber risk course to London for the first time to provide delegates with best practice strategies for ownership of cyber risk management and business wide implications such as third party vendor risk and operational resilience.