Stress Testing Practices: Data, AI and Climate Risk London
Themes include; data, capital, AI, climate risk and revers stress testing.
Join us for this engaging, informative two day training course where industry experts will cover in detail the most important features, themes and best practice approaches to stress testing.
Sessions will include a detailed look at data management, reverse stress testing, capital allocation, AI and stress testing climate risk.
What will you learn?
- Best practice approaches management in stress testing
- Utilising AI and machine learning for stress testing
- Develop a framework for stress testing climate risk
- Understanding of stress testing non-financial risk
- Learnings from insurers reverse stress testing and how these can be leveraged for banks
- Understanding how to create and quantify stress test scenarios
Who should attend?
Relevant departments may include but are not limited to:
- Stress Testing
- Market Risk
- Capital Management
- Internal Audit
- Model Risk
- Credit Risk
- Non-financial risk
- Regulatory update and building a stress testing framework
- Scenario design
- AI and machine learning for enhancing stress testing
- Data for stress testing and leveraging its value
- Stress testing impact on capital allocation
- Stress testing for non-financial risk
- Reverse stress testing for insurers - learnings for banks
- Preparation: stress testing for climate risk
Market risk stress testing
James is an accomplished financial services risk and treasury practitioner with over 20 years’ experience of building tools and processes, and using them to motivate balance sheet and risk profile changes. He led Risk Analytics, Credit Portfolio Risk Management and Liquidity Modelling teams in a major UK bank, before joining Baringa Partners to lead their Risk Advisory practice. James now works with a wide range of FS clients to support them in understanding and delivering strategic change to their risk management capabilities. Bringing together Baringa’s Energy and FS capabilities, James has increasingly worked with UK banks and insurers to support them in building climate change risk management capabilities.
Sebastian leads the Credit Risk Methodology team within firm’s Quantitative Advisory Services. He specialises in quantitative analytics, credit risk modelling, macroeconomic forecasting, machine learning and data analytics. He has 11 years’ of quantitative analytics experience working for top tier UK and global banks, aerospace and defence, telecommunication and technology companies. Sebastian worked in credit risk modelling, model validation, and stress testing across retail and wholesale banking, as well as delivered a large scale data mining and machine learning projects.
Senior XVA Quantitative Consultant
Assad Bouayoun is a senior XVA Quantitative Analyst at Scotiabank with more than 15 years' experience in leading banks. He has designed industry standard hedging and pricing systems, first as a single asset quant (equity derivative at Commerzbank, credit derivatives at Credit Agricole) then as XVA quant in XVA at Lloyds in Model Validation at RBS in Model Development. Assad has an extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. After developing a prototype of XVA platform integrating cutting-edge technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA and sensitivities computation, he now participates to its productionisation. He holds a MSc in Mathematical Trading and Finance from CASS business school and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France).
An accomplished senior risk professional with 10+ years of senior leadership experience in stress testing, risk analytics, credit risk portfolio management and economics.
• Led Bank of England, ICAAP and European Banking Authority stress tests for Lloyds Banking Group and Barclays. Reported stress test results to executives, non-executives and regulators
• Spearheaded the development of supervisory and ICAAP stress testing capabilities for Lloyds Banking Group and executed stress testing governance and operating models.
• Led 50+ strong modelling teams delivering the modelling of impairment, RWAs, stress tests, as well as model monitoring and calibrations. Led the development of advanced analytics models using machine learning.
• Provided oversight of retail credit portfolios including Loans, Credit Cards, Current Accounts and Mortgage portfolios
• Led due diligence on credit portfolios and provided investment recommendations.
• Led the development of economics scenarios with relevant economic parameters to use in stress testing
• Led an economics team that prepared and presented regular economic briefings for risk professionals.