Agenda

Agenda

Stress Testing - Agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Embedding stress testing frameworks to inform business decisions

09:00 - 10:30

  • What does ‘good’ look like
  • How stress test results can inform business decision making
  • Aligning front office and risk stress testing processes
  • Adjusting stress tests to changing business models
  • Criteria for integrating stress testing frameworks in financial planning
  • Stress testing change programmes

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Credit risk stress testing

10:45 - 12:00

  • 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
Filipe Lemos

Risk manager

Banco BNI Europa

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Group activity: scenario design workshop
Attendees will work in small groups to consider the points below during a facilitated discussion and practical exercise;

13:00 - 14:30

  • How to identify key risks in the organisation
  • What are relevant stress scenarios?
  • How severe should a stress scenario be?
  • Scenario design and implementation
  • Reverse and integrated stress testing
  • Quantifying likelihood of a scenario

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

The impact of stress testing on capital allocation

14:45 - 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

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Non-financial risk and stress testing

09:00 - 10:30

  • Quantifying non-financial risk
  • How to accurately measure non-financial risk
  • Modelling techniques for determining economic impact of non-financial risks
  • Managing different risks - cyber and operational risk
  • Embedding operational resilience in a stress testing framework
  • The importance of a holistic approach
Gerald Redinger

Risk Manager

Raiffeisen-Landesbank

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Challenges in Stress testing: Market Risk and Counterparty Credit Risk

10:45 - 12:00

  • Comparing regulatory stress tests
  • Overview of stress testing lifecycle for market risk and counterparty credit risk
  • Overview of BoE annual cyclical scenario (ACS) for 2019
  • Expanding PRA scenario to granular risk factors
  • Case study – BoE stress test
  • PRA guidelines for counterparty defaults and stressed exposure reporting
  • Counterparty credit risk – name selection and jump to default loss
  • Summary & challenges in stress testing: planning & execution
Rohan Kataria

Head of execution for WMR traded risk stress testing

HSBC

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Enhancing stress testing with AI and machine learning

13:00 - 14:30

  • 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

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Stress testing for climate risk

14:45 - 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 BoE biennial exploratory exercise
  • Who is responsible for key tasks – sponsorship, project management, risk management?
Maurizio Garro

Senior manager

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.