Agenda

Agenda

Emerging Trends in Stress Testing | Agenda

Agenda timing is in HKT/SGT

08:4509:00

Registration

09:00 - 09:30

09:0010:00

Embedding stress testing frameworks to inform business decisions

09:00 - 10:00

  • 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
Nihit Mohan

Senior Manager, Credit Risk Stress Testing, Retail and Private Banking

Standard Chartered Bank

12.9 years of experience operating at the intersection of Risk, Retail Banking and Stress Testing within globally recognized Banks in Singapore. Performed confidently within highly regulated environments to recognized standards, and directing collaborations with various Stakeholders. Identified areas for improvement, strategically develops solutions and problem solves through intensive research and in-depth analysis. Skilled at driving operational quality and solidifying risk frameworks to strengthen regulatory reputation along with business integration of stress testing as portfolio management technique. I have spoken in industry conferences on Stress testing and business impacts. To know more, log on to www.nihitmohan.com

10:0010:15

Morning break

11:00 - 11:30

10:1511:15

Credit risk stress testing

09:00 - 10:00

  • 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

11:1511:15

End of Day 1

17:30 - 17:31

08:4509:00

Registration

09:00 - 09:30

09:0010:00

The impact of stress testing on capital allocation

09:00 - 10:00

  • Uses of IFRS 9 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

10:0010:15

Morning break

11:00 - 11:30

10:1511:15

Scenario design

09:00 - 10:00

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

11:1511:15

End of Day 2

12:00 - 13:00

08:4509:00

Registration

09:00 - 09:30

09:0010:00

Non-financial risk and stress testing

09:00 - 10:00

  • 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

10:0010:15

Morning break

11:00 - 11:30

10:1511:15

Challenges in stress testing: market risk and counterparty credit risk

09:00 - 10:00

  • Stress testing overview
  • Overview of stress testing lifecycle for market risk and counterparty credit risk
  • Case study
  • Stress testing and COVID-19: emerging trends
  • Summary and challenges in stress testing: planning and  execution

11:1511:15

End of Day 3

12:00 - 13:00

08:4509:00

Registration

09:00 - 09:30

09:0010:00

Stress testing for climate risk

09:00 - 10:00

  • Governance, roles and responsibilities
  • Effect on the balance sheet due to transition paths
  • Challenges around acquiring and normalizing data
  • Environmental risks and quantitative metrics
  • The journey so far and next steps
Wei Chen

Director, global risk consulting risk research and quantitative solutions

SAS institute

Wei Chen has led several program initiatives including enterprise stress testing and IFRS 9/CECL in the recent years. He has worked closely with major financial institutions around the world on business process and requirements, methodology, solution design and implementation. Wei has more than fifteen years of banking and insurance experience in the areas of credit risk, market risk, asset and liability management and liquidity risk from both regulatory and internal management perspectives.  In the recent years he is active in the risk and finance integration subjects such as IFRS, risk appetite framework, capital planning and recovery and resolution planning. AI/ML analytics application in risk management is another emerging subject for him. His publications have appeared in several journals such as Journal of Risk and Journal of Risk Management in Financial Institutions. Most recently he co-authored a Wiley Finance Series book, “Financial Risk Management – Applications in Market, Credit, Asset and Liability and Firmwide Risk”. 

 

Wei is an associate editor of the Journal of Risk Model Validation and a certified Financial Risk Manager. He holds a PhD from The University of Iowa.

10:0010:15

Morning break

11:00 - 11:30

10:1511:15

Enhancing stress testing with AI and machine learning

09:00 - 10:00

  • Optimizing 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

11:1511:15

End of course

17:30 - 17:31