Agenda

Agenda

Stress Testing Agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Broader stress testing landscape and regulatory update

09:00 - 10:30

  • Understand the capital stress testing continuum, its components, and how they fit together
  • Contradictory assumptions and their implications
  • Pending changes to component of the capital continuum and changing regulations
  • Focus of regulators on data and reporting, and expected capabilities of control systems
  • Looking beyond regulatory requirements
    • Utilizing the tests to aid in capital optimization and front office decisions
    • Leveraging tests to create a culture of continuous improvement
  • Working with your regulators

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Building a stress testing framework

10:45 - 12:00

  • If you can’t forecast losses, how can you manage
  • Stress losses as the keystone risk management tool
  • Regulatory and routine vs. flexible and ad hoc
  • Deriving value through stress testing and model governance

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 for stress testing

14:45 - 16:15

  • Data management process
  • Data quality and validation
  • Governance and prioritization
  • Utilizing data framework for other use cases
  • Data technology

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Stress testing optimization

09:00 - 10:30

  • Integrating outputs into day-to-day operations
  • Linking to risk appetite and risk identification
  • Enhancing risk/reward analysis and decision making
  • Capturing new and emerging risks, including ad-hoc analytics
  • Stress testing as a key strategic risk measure
  • Real-time analytics

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Group discussion: Integration of CECL

10:45 - 12:00

  • Changes and challenges
  • Forward-looking of forward-looking?
  • Lessons from IFRS 9 and stress testing
  • Setting up a right framework
  • Process coordination and governance
     

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Stress Testing and the Corona Virus

14:45 - 16:15

  • Alternative methodologies for ad hoc analyses
  • Direct and indirect effects on financial institutions
  • Best practices through a sound framework
  • “Throw away nothing” or using development scraps

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

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