Agenda

Agenda

Stress Testing - Agenda

 

Day one - Wednesday 4 December 2019

08:30

Registration and refreshments

09:00

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

10:30

Morning break

10:45

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

12:00

Lunch

13:00

AI and machine learning for enhancing stress testing

  • Optimising the stress testing process
  • Analysing large amounts of data
  • 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, senior manager, Parker Fitzgerald

14:30

Afternoon break

15:00

Data for stress testing and leveraging its value

  • Value of data management
  • Data quality
  • Prioritizing data
  • How can the data framework be utilized for other uses?
  • What technology is available to classify data and standardised across the business
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

Dilip Singh, director, Barclays

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

12:00

Lunch

13:00

Reverse stress testing for insurers - learnings for banks

  • Reverse stress testing as a risk management tool
  • Defining the outcome
  • Assessing what the scenarios and circumstances that effected the business model are
  • Developing modelling methodologies
  • How can banks learn from insurers?

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?

James Belmont, director, Baringa Partners

16:30

End of course