Agenda

Agenda

Stress Testing Agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Building a stress testing framework

09:00 - 10:30

  • How does it fit within the business model?
  • Getting buy in from front office
  • Incorporating other areas of risk
  • Reactive and proactive
  • Deriving value from stress testing

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Regulatory update: DFAST and CCAR

10:45 - 12:00

  • Update on regulatory requirements
  • Effective risk management
  • Improving the decision making process
  • Structuring a qualitative framework
  • Looking beyond regulatory requirements
    • Utilizing the tests to be beneficial internally
    • How to make stress tests more useful than just meeting requirements

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Scenario design

13:00 - 14:30

  • How to identify key risks within the organization
  • What are relevant stress scenarios?
  • How severe should a stress scenario be?
  • Quantifying the likelihood of a scenario

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Leveraging data from stress testing

14:45 - 16:15

  • Value of data management
  • Data quality
  • Prioritizing data
  • Utilizing data framework for other uses
  • Technology available to classify data

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Optimization of stress testing

09:00 - 10:30

  • Integrating outputs into day-to-day operations
  • Increasing efficiency
  • Improving data quality
  • Future investments through automation
  • Increasingly complex methodologies to enhance decision making
  • Better transparency in industry practices

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Integration of CECL

10:45 - 12:00

  • Changes and challenges
  • Estimating loss provisions
  • Impact on capital ratios
  • Credit loss forecasting
  • Governance over entire process
  • Controlling the framework

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

A machine learning based approach to stress testing

13:00 - 14:30

  • Optimizing the stress testing process
  • Analysing large amounts of data
  • Limiting variables in scenario analysis
  • Efficiently fulfilling regulations and internal evaluations
  • Increased response times on specific portfolios or institutions

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Stress testing for climate risk

14:45 - 16:15

  • Alignment of financial flows
  • Gathering data
  • Evolving climate risk to quantitative metrics
  • Effect on the balance sheet
  • Whose responsibility?