Agenda

Agenda

Stress Testing - Agenda

 

Day one - Wednesday 4 December 2019

08:30

Registration and refreshments

09:00

Scenario design

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

Imran Syed, market risk stress testing, Credit Suisse

10:30

Morning break

10:45

Regulatory update and building a stress testing framework   

  • 2019 stress test results
  • How does it fit within the business model?
  • Getting buy-in from front office
  • Incorporating other areas of risk
  • Reactive and proactive
  • Deriving value from stress testing

12:00

Lunch

13:00

AI and machine learning for enhancing stress testing

  • IT infrastructure supporting ML deployment
  • Time series forecasting using ML
  • Limiting the amount of variables needed in the scenario analysis
  • Increased transparency
  • Aiding modelling
  • How can AI and ML help to increase efficiency and response times

Sebastian Ptasznik, principal, Parker Fitzgerald

14:30

Afternoon break

15:00

Stress testing framework for investment funds

Sebastian Ptasznik, principal, Parker Fitzgerald

16:30

 End of day one 

 

Day two - Thursday 5 December 2019

08:30

Refreshments

09:00

Stress testing impact on capital allocation

  • 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
  • Balance sheet management
  • Liquidity stress testing

Ivelina Nilsson, client partner, 4most Europe

10:30

Morning break

10:45

Stress testing for non-financial risk 

  • Modelling techniques for determining economic impact of non-financial risks
  • Managing cyber risks
  • Embedding operational resilience in a stress testing framework

Ahraz Sheikh, director, Parker Fitzgerald

12:00

Lunch

13:00

Practical quantitative reverse stress testing

  • Reverse stress testing definition (qualitative and quantitative)
  • Choice of the financial aggregate (to be reverse stress tested) 
  • Modelling frameworks ( Monte-Carlo, Copula, Systematic approach)
  • IT architecture constraints and design
  • Case study: QRST of PV + XVA of a multi-currency portfolio of swap

Assad Bouayoun, XVA and Credit Derivative Quant, Daiwa Capital Markets

14:30

Afternoon break

15:00

Preparation: stress testing for climate risk  

  • Alignment of financial flows with the Paris Agreement
  • Gathering data
  • Evolving physical and transition climate risks to quantitative metrics
  • Effect on the balance sheet
  • Whose responsibility?

Luke Wakeling, consultant, Baringa Partners & Gabriella Symeonidou, manager, Baringa Partners

16:30

End of course