Agenda

Agenda

Emerging Trends in Stress Testing: Agenda

Live virtual course | Agenda timing is in GMT/EST

Start: 2pm GMT / 9am EST
End: 4.15pm GMT/ 11.15am EST


14:0015:00

Building a stress testing framework

14:00 - 15:00

  • Stress losses as a keystone risk management tool

  • Deriving value through stress testing and model governance

  • Aligning stress testing with capital and financial planning

  • How stress test results can inform business decisions

Konstantina Drakouli

Head of fixed income, market risk

Jefferies – London

Konstantina Drakouli has worked for risk management for most of her 20-yr career, in both London and New York. With an Economics Bachelor degree (M.I.T.), she is also a teaching associate at Warwick Business School and King's Business School.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Stress testing optimisation

15:15 - 16:15

  • Integrating outputs into day-to-day operations

  • Linking risk appetite and risk identification

  • Enhancing decision making

  • Capturing new and emerging risks

Konstantina Drakouli

Head of fixed income, market risk

Jefferies – London

Konstantina Drakouli has worked for risk management for most of her 20-yr career, in both London and New York. With an Economics Bachelor degree (M.I.T.), she is also a teaching associate at Warwick Business School and King's Business School.

14:0015:00

Scenario design and model validation in stress testing

14:00 - 15:00

  • Identifying key risks in the organisation

  • Designing reasonable and relevant scenarios

  • How does government intervention play out?

  • Limitation of models due to COVID-19

  • Making adjustments to results

Grigoris Karakoulas

President & founder

InfoAgora Inc

Grigoris Karakoulas is the president and founder of InfoAgora Inc. that has provided risk management consulting, prescriptive analytics, RegTech solutions (CECL/ IFRS9/IRRBB/Basel III) and model risk management services to Fortune-500 financial institutions with multi-million dollar benefits. He is also Adjunct Professor in the Department of Computer Science at the University of Toronto. Grigoris has published more than 40 papers in journals and conference proceedings in the areas of machine learning, risk management and predictive modelling in banking. He is on the PRMIA subject matter boards for Stress Testing and Enterprise Risk Management. He holds a PhD in Computer Science (Artificial Intelligence).

15:0015:15

Break

15:00 - 15:15

15:1516:15

Leveraging data for stress testing

15:15 - 16:15

  • Value of data management

  • Data quality

  • Prioritising data

  • Utilising data framework for other uses

  • Technology available to classify data

Subas Roy

Senior partner

Oliver Wyman & global chairman, International RegTech Association

Subas is a senior Partner in Oliver Wyman with 23 years of strategic consulting experience in Banking and Financial Services inorganic growth, digital innovation and digital transformation. He has led and designed Digital Innovation, Regulatory and Financial Inclusion strategies for multiple central banks and regulators across Western Europe, North America and Asia Pacific regions. 

Subas currently runs a growing management consulting business in Oliver Wyman with 24 revenue generating Partners and another ~120 consultants with YoY global revenue of ~$130MM focusing on (a) digital strategy and acceleration including market infrastructure reorganisation; (b) digitalization of risk and regulatory compliance in banks and regulators; and (c) cost optimization across 3LoDs in tier-1 banks and FIs including corporate finance advisory for buyout and other strategic options.

Prior to Oliver Wyman, Subas was a senior Partner at two Big4 Professional Services (2011-2017 at Ernst & Young, and 2005-2010 at PricewaterhouseCoopers) responsible for developing global strategy advisory practice for Banking transformation fueled by disruption and technological advancement, supported with proper people and process strategies, and how to deliver an accelerated digital change, ethically and responsibly in a growing, emerging economy. In Thailand, he led digital banking transformation for 2 of the top 3 Banks head quartered in Bangkok over a period of 4 years.

Subas is also the Founder and currently non-executive Global Chairman of the International RegTech Association (IRTA), a premier non-profit association representing the RegTech firms, central banks/regulators, and innovators in ~30 countries.

Previously he has held External Advisory Board appointments to the United Nations Capital Development Fund (UNCDF) on two digital innovation missions in South-east Asia, including creating a digital identify platform in Nepal and helping the Ministry of Electronics and Information Technology of India to develop a digital identification platform (Aadhar) for 1.3BN Indian citizens.

Subas has also held international Expert Panel chair and member roles at the Harvard University Kennedy School of Business and Government on public policies, the Gates Foundation, and the United Kingdom FinTech Innovation Committee under the rules of the Her Majesty’s Treasury (HMT) division. 

14:0015:00

Stress testing execution and automation

14:00 - 15:00

  • How to achieve operational efficiency?
  • Key challenges in stress testing
  • Current trends and Covid-19
  • Future of stress testing
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.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Credit risk stress testing

15:15 - 16:15

  • Credit risk stress testing framework 

  • Understanding regulatory requirements

  • Stress testing fundamental credit drivers

  • Top down vs bottom up approach

  • Common challenges

Andy Spero

President

Spero Risk Associates

14:0015:00

Non-financial risk in stress testing

14:00 - 15:00

  • SSM requirements related to stress testing

  • Characteristics of non-financial risks

  • Stress testing methodology for non-financial risk

  • Stress testing for specific non-financial risks

    • Operational

    • Cyber

    • Pandemic

Subas Roy

Senior partner

Oliver Wyman & global chairman, International RegTech Association

Subas is a senior Partner in Oliver Wyman with 23 years of strategic consulting experience in Banking and Financial Services inorganic growth, digital innovation and digital transformation. He has led and designed Digital Innovation, Regulatory and Financial Inclusion strategies for multiple central banks and regulators across Western Europe, North America and Asia Pacific regions. 

Subas currently runs a growing management consulting business in Oliver Wyman with 24 revenue generating Partners and another ~120 consultants with YoY global revenue of ~$130MM focusing on (a) digital strategy and acceleration including market infrastructure reorganisation; (b) digitalization of risk and regulatory compliance in banks and regulators; and (c) cost optimization across 3LoDs in tier-1 banks and FIs including corporate finance advisory for buyout and other strategic options.

Prior to Oliver Wyman, Subas was a senior Partner at two Big4 Professional Services (2011-2017 at Ernst & Young, and 2005-2010 at PricewaterhouseCoopers) responsible for developing global strategy advisory practice for Banking transformation fueled by disruption and technological advancement, supported with proper people and process strategies, and how to deliver an accelerated digital change, ethically and responsibly in a growing, emerging economy. In Thailand, he led digital banking transformation for 2 of the top 3 Banks head quartered in Bangkok over a period of 4 years.

Subas is also the Founder and currently non-executive Global Chairman of the International RegTech Association (IRTA), a premier non-profit association representing the RegTech firms, central banks/regulators, and innovators in ~30 countries.

Previously he has held External Advisory Board appointments to the United Nations Capital Development Fund (UNCDF) on two digital innovation missions in South-east Asia, including creating a digital identify platform in Nepal and helping the Ministry of Electronics and Information Technology of India to develop a digital identification platform (Aadhar) for 1.3BN Indian citizens.

Subas has also held international Expert Panel chair and member roles at the Harvard University Kennedy School of Business and Government on public policies, the Gates Foundation, and the United Kingdom FinTech Innovation Committee under the rules of the Her Majesty’s Treasury (HMT) division. 

15:0015:15

Break

15:00 - 15:15

15:1516:00

The impact of stress testing on capital allocation

15:15 - 16:15

  • Combining CECL and stress tests for monitoring and making business decisions
  • Dynamic response (risk management) vs. passive response (regulatory) stress tests
  • Generating risk appetite frameworks, scenarios, limits, and uses
Andy Spero

President

Spero Risk Associates