Agenda

Agenda

Agenda

Agenda timing is in BST
----------------------------------------------------
Session one - 2pm BST / 9am EDT
Session two - 3.15pm BST / 10.15am EDT
End - 4.15pm BST / 11.15am EDT
----------------------------------------------------

Tuesday 2 June 2020

02:0003:00

Embedding stress testing frameworks to inform business decisions

14:00 - 15:00

  • How stress test results can inform business decision making
  • Alignment of stress testing, capital planning and financial planning
  • Best practices of governance 
  • Adaptation of stress testing and narrative to the business model   
Dr Daniel Mayenberger

co-author of the upcoming book "Reverse Stress Testing in Banking - A Comprehensive Guide: Regulatory Requirements, Practical Use Cases, Artificial Intelligence, Recovery & Resolution Planning and Governance

Dr. Daniel Mayenberger has in-depth quantitative expertise across asset class and is an experienced leader of large global teams, held a variety of positions in modelling and risk management at Barclays, Credit Suisse, Bank of America, Deutsche Bank and KPMG.


He frequently speaks at high-profile international conferences on the latest methodologies such as artificial intelligence and machine learning.
Daniel holds a doctorate in pure mathematics from the University of Trier and an executive MBA with distinction from London Business School.

03:0003:15

Break

15:00 - 15:15

03:1504:15

Credit risk stress testing

15:15 - 16:15

  • Frameworks of credit risk stress testing
  • Understanding regulatory requirements
  • Stress testing fundamental credit drivers
  • Macro-portfolio level stress testing 
  • Top down vs bottom up approach
  • Common challenges in credit risk stress testing
Filipe Lemos

Risk manager

Banco BNI Europa

Wednesday 3 June 2020

02:0003:00

The impact of stress testing on capital allocation

15:15 - 16:15

  • Uses of IFRS 9 and US CECL for monitoring and making business decisions
  • Bringing losses into day one with foresight of the full extent of the scenario
  • Realistic nature of numbers with perfect foresight
  • Generating risk appetite frameworks
  • How stress testing informs balance sheet management
  • Liquidity solvency stress testing
Sunil Verma

Executive director

UBS

03:0003:15

Break

15:00 - 15:15

03:1504:15

Scenario design

14:00 - 15:00

  • How to identify key risks in the organisation
  • What are relevant stress scenarios?
  • How severe should a stress scenario be?
  • Scenario design and implementation
Imran Syed

Market risk stress testing

Credit Suisse

Imran Syed is a Market Risk Stress Testing Manager with Credit Suisse.

He is involved in the design and calibration of scenarios, development of scenario frameworks and key regulatory submissions. He is currently responsible for the firm wide Coronavirus and Brexit related market risk stress tests. He was previously with BAML, heading the Risk Analytics, Derivatives and Capital Markets teams at the India Centre of Excellence.

Thursday 4 June 2020

02:0003:00

Non-financial risk and stress testing

14:00 - 15:00

  • SSM requirements related to stress testing
  • Non-financial risks and their characteristics
  • Stress testing methodology for non-financial risk
  • Stress testing for specific non-financial risk
    • Operational risk
    • Cyber risk
    • Pandemic risk
Gerald Redinger

Risk Manager

Raiffeisen-Landesbank

03:0003:15

Break

15:00 - 15:15

03:1504:15

Challenges in stress testing: market risk and counterparty credit risk

15:15 - 16:15

  • Stress testing overview
  • Overview of stress testing lifecycle for market risk and counterparty credit risk
  • Case study – Bank of England stress test for UK banks
  • Stress testing and Covid-19: emerging trends
  • Summary & challenges in stress testing: planning & execution
Rohan Kataria

Head of execution for WMR traded risk stress testing

HSBC

Rohan Kataria is the Head of Execution for Traded Risk Stress Testing at HSBC since early 2019. He is responsible for Planning, Execution and Delivery of Trading Risk Stress Testing at the Group Level, includes both Market Risk and Counterparty Credit Risk. He is involved in various stress tests submissions, including PRA and EBA.

Previously Rohan worked with Credit Suisse in London for 8 years. His recent role was an ICAAP Market Risk Manager.  He was responsible for Pillar 2A assessment for Market Risk for UK legal entities. Overall, Rohan has 15+ years of experience in various roles including but not limited to stress testing, scenario analysis, front-to-back processes, trade lifecycle, regulatory capital & reporting.

Rohan holds an Executive MBA degree from London Business School and is FRM (GARP) certified. He did his graduation in Electrical Engineering from Indian Institute of Technology (IIT) , Mumbai.

Friday 5 June 2020

02:0003:00

Stress testing for climate risk

15:15 - 16:15

  • Alignment of financial flows with Bank of England biennial exploratory scenario (BES) exercise
  • Challenges around acquiring and normalising data
  • How to parametrise environmental risks into quantitative metrics
  • Effect on the balance sheet due to transition paths
  • Regulatory insight- SS3/19 and Bank of England biennial exploratory exercise
  • Who is responsible for key tasks – sponsorship, project management, risk management?
Maurizio Garro

Senior Lead – IBOR Transition programme

Lloyds Banking Group

Maurizio Garro works as a Senior Lead BA for the IBOR Transition programme at Lloyds Banking Group, where he is leading the delivery of the changes required for models, curves and products for the transition to the alternative risk-free rates for the Front and Back book. His background is in quantitative risk management, Model Risk, Market Risk, Counterparty Credit Risk, Pricing, Liquidity and Stress Testing. 

He has a long-standing experience as an internal auditor, consultant and banker in model risk management and previously worked in the Development and Validation teams of top-tier financial institutions in Europe, U.S., and the U.K. for over 15 years.  

Maurizio is a  frequent speaker on various topics in risk management, a member of the Institute of Internal Auditor and the Director of the Global Association of Risk Professional (GARP) London Chapter.

Maurizio Garro received his Master Degree in Economics from the Bocconi University of Milano and a certificate in Financial Risk Management (FRM) from GARP.

03:0003:15

Break

15:00 - 15:15

03:1504:15

Enhancing stress testing with AI and machine learning

14:00 - 15:00

  • Optimising the stress testing process
  • Limiting the number of variables needed in the scenario analysis
  • Importance of risk assessing and risk control
  • Aiding modelling
  • How can AI and ML help to increase efficiency and response times
  • Regulatory expectations for AI and machine learning
Chaoxin Zheng

Head of EMEA economic capital and stress testing framework

Morgan Stanley