Latest Developments and Best Practice in Stress Testing

Course Agenda

Wednesday 24 May

08.30 Coffee & Registration

9.00 Introduction: Stress testing in 2017 and beyond

  • Regulatory impetus for stress testing 
  • Results from EBA stress testing - what can we take from this exercise?
  • Analysing the Bank of England Nov 2016 stress test results 
  • Regulatory expectations
  • Stress testing for capital adequacy and risk management
  • Overview of the quantitative and qualitative aspects of stress testing

Robert Smith, Partner, KPMG 

10.30 Coffee Break

11.00 Operational aspects of stress testing

  • BCBS 239 and stress testing: data management, reporting, standards
  • Standardisation of stress testing models, data, systems
  • How much automation do we need for stress testing?
  • What technical solutions are used for stress testing, risk aggregation, and scenario analysis
  • Fit for purpose data to meet regulatory demands 
  • Ensuring ‘clean data' for analysis 

Ashutosh Nawani, Director, Head of Financial Risk Management, PwC 

12.30 Lunch 

13.30 Quantitative methods applied to the scenario design process

  • How to identify key risks in the organization
  • What are relevant stress scenarios?
  • How severe should a stress scenario be?
  • Scenario design
  • Market risk stress testing
  • How to quantify the likelihood of a scenario

Anant Saxena, Director, Global Lead for Scenario Design and Stress Testing Methodology, Credit Suisse 

15.00 Coffee 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 

Cecilia Gejke, Head of Stress Testing, Denmark, Nordea 

17:00 End of day one


Thursday 25 May

9.00 Model risk and validation

  • Emerging and current best practice approaches to model risk management 
  • Regulatory compliance 
  • The use of challenges models 
  • How to quantify model limitations and model risk 
  • Validation tools 
  • Validation frameworks 

Grazia Rapisarda, Senior Manager, Head of Model Risk Governance, RBS

Archana Gupta, Head of Credit Model Risk, RBS

10.30 Coffee Break

11.00 Liquidity Risk

  • Regulatory context 
  • Characteristics of liquidity risk 
  • Stress testing framework 
  • Practical example of product stress test
  • Solvency vs Liquidity 

Muhammad Fazeel ur Rehman, Senior Vice President, Citi Group EMEA

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 

Ruben Cohen, Independent Operational Risk Expert 

15.00 Coffee Break

15.30 Governance and decision making

  • How to embed stress testing in the decision making process
  • Engaging other departments and the board 
  • How big should capital buffers for stress testing be?
  • Making changes to business plans on the basis of stress testing
  • Embedding judgment and management reaction in stress testing
  • Stress testing for risk management or capital allocation

Jeff Simmons, Managing Director, Head of Enterprise Risk Management, The Bank of Tokyo-Mitsubishi UFJ

17.00 Close of Course

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