Stress Testing Europe 2016

Stress Testing Europe 2016

The Leading European Stress Testing Conference
Reviewing Evolving Stress Testing Processes And Requirements And Moving Towards The Next Phase Of Development

4TH ANNUAL

Stress Testing Europe 2016

Taking place at The Grange City Hotel, 8-14 Coopers Row, EC3N 2BQ, London

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Key highlights of the summit

FEDERAL RESERVE BOARD KEYNOTE ADDRESS
Tim Clark, Deputy Director, Division of Banking Supervision and Regulation at the Federal Reserve Board (tbc) will review the US Stress Tests and look towards the future.

BANK OF ENGLAND KEYNOTE ADDRESS
Bank of England’s Head of Risk Architecture, Supervisory Risk Specialists, will discuss the UK stress tests and take a look at future requirements.

EUROPEAN CENTRAL BANK KEYNOTE ADDRESS
An ECB perspective on stress testing at the SSM with Phillip Koziol (Deputy Team Leader Credit Risk Stress Testing Team, SSM Risk Analysis Division)

EMBEDDING STRESS TESTING INTO ‘BUSINESSES AS USUAL’
The benefits of embedding stress testing into ‘business as usual’ framework for effective risk management

DATA AND BCBS 239
Reviewing regulatory data requirements and using data as a tool for effective stress testing

BUSINESS PLANNING AND RISK MANAGEMENT
Incorporating stress testing into a broader business planning and risk management framework

ENTERPRISE STRESS TESTING
Incorporating an enterprise wide stress testing framework for a firm wide view across all risk types

PROCESS AND CONTROLS
Building an effective stress testing framework and robust
forecasting process

LIQUIDITY
Integrating liquidity stress testing into the wider framework for a more consistent approach across risk classes

MODEL RISK
Reviewing the evolving model risk and requirements to ensure accurate reporting of stress test outcomes

OPERATIONAL RISK
Building a CCAR Compliant operational risk stress model

Hear from the following stress testing experts

Phillip
Koziol

Deputy Team Leader Credit Risk Stress Testing Team, SSM Risk Analysis Division


European Central Bank

Ashley
Kibblewhite

Head of Risk Architecture, Supervisory Risk Specialists


Bank of England

Tim
Clark
(tbc)

Deputy Director, Division of Banking Supervision and Regulation


Federal Reserve Board

Catherine
Toupin-Dumont

Global Head of Stress Testing


Nomura

Dr Evgueni
Ivantsov

Head of Portfolio Management & Strategy


Lloyds Banking Group
Chairman
European Risk
Management Council

John
Brent

Head of Stress Testing Policy & Model Governance


HSBC

Trevor
Wells

Global Head of Wholesale Credit and Market Risk Stress Testing


HSBC

Chris
Jarvill

Director, Risk – International Stress Testing


Bank of America Merrill Lynch

Thomas
Groen

Head of Capital & Liquidity Risk and Stress Testing


Barclays

Day One | 5 October 2016

08.15 Registration & Morning Coffee

08.50 Chairs’ Opening Remarks

KEYNOTE ADDRESS
09:00 A Review Of The US Stress Tests And Looking Towards The Future
Tim Clark, Deputy Director, Division of Banking Supervision and Regulation, Federal Reserve Board (tbc)

PANEL DISCUSSION
09:40 Reviewing The Benefits Of Embedding Stress Testing Into ‘Business As Usual’ Framework For Effective Risk Management

  • Using as an internal risk management tool as well as a regulatory tool
  • Understanding your business and what’s relevant
  • What risks do you run as your firm and are firms stressing those risks adequately
  • Framework applicable across the board
  • Building up governance processes
  • Using stress testing tools to produce firm specific results to inform business decisions

Catherine Toupin-Dumont, Global Head of Stress Testing, Nomura
Anant Saxena, Director, Global Head of Scenario Design and Methodology, Credit Suisse
Matthew Sandoe, Head of Strategic Risk Analysis and Reporting for Market, Counterparty and Liquidity risks, BNP Paribas
Wayne Dabideen, Head of ICAAP & Capital Stress Testing, UK/Ireland, BNY Mellon

10.30 Morning Refreshment Break & Networking

11:00 Building Effective Stress Testing Framework and Robust Forecasting Process

  • How to meet regulators’ expectations towards stress testing
  • Stress scenario creation and selection
  • Using right stress testing and scenario analysis tools
  • Balancing stress testing analytics and management judgment
  • Embedding robust stress testing governance
  • Maximising value of stress testing process

Dr Evgueni Ivantsov, Head of Portfolio Management & Strategy, Lloyds Banking Group, Chairman, European Risk Management Council
Luca D’Amico, EMEA Head of Risk Management Sales, Copal Amba (A Moody’s Analytics Company)

11:35 A Review on Stress Testing, Financial Planning and IFRS9

  • Importance of integrating stress test in strategic planning and decision making
  • Similarities between IFRS 9 and stress testing, and why integration is value add
  • IFRS 9 forecasting uncertainties, during an economic downturn
  • Resultant additional capital volatility and meeting regulatory stress test hurdle rates

Thomas Groen, Head of Capital & Liquidity Risk and Stress Testing, Barclays

DOUBLE SESSION
MODEL RISK

12:10 Reviewing The Evolving Model Risk and Requirements To Ensure Accurate Reporting Of Stress Test Outcomes

  • Balancing methodologies and reality of risks in portfolios
  • Risk parameter evolution
  • Standardised modelling across a global organisation
  • Statistical models over judgment
  • Measuring and identifying to prioritise development
  • Governance – SR 11-7

John Brent, Head of Stress Testing Policy & Model Governance, HSBC
Sanjay Agrawal,
Founder and President, CIMCON Software

13.15 Lunch Break & Networking

PANEL DISCUSSION
DATA AND BCBS 239
14:15 Reviewing Regulatory Data Requirements And Ensuring Compliance Throughout The Stress Testing Process

  • Consistency with regulators
    • FINREP, COREP, FDSF Reporting
  • Data needed to model Vs. data reporting to regulator
  • Data quality and granularity
  • Consistency of how data is reporting
  • Consistent reporting requirements across different areas and data definitions

Andrea Burgtorf, Head of Group Risk Operating Office, Erste Group
Adrian Maconick
, Spreadsheet Risk Management Expert, Finsbury Solutions Ltd
Sunil Verma,
Head of Market Risk Stress Testing Methodology, UBS

14:50 Have Risk Managers Been Let Down by Big IT?

  • Why do large scale risk IT projects have such: a high failure rate?
  • Critique of the standard risk project technical and business architecture
  • Tensions around architecture, data process and stakeholders
  • A practical model for successful stress testing projects
    • Designing an IT architecture that works and can be delivered
    • Using modern project management and delivery techniques

Adrian Maconick, Spreadsheet Risk Management Expert, Finsbury Solutions Ltd.

15:25 Afternoon Refreshment Break & Networking

DOUBLE SESSION
BUSINESS PLANNING AND RISK MANAGEMENT
15:55 Incorporating Stress Testing Into A Broader Business Planning And Risk Management Framework To Use As A Tool Beyond Regulatory Compliance

  • Bringing annual operating planning process consistent with stress testing process
  • Integrating stress testing into capital and corporate planning
  • Deriving value from the information: Quality and longevity
  • Risk identification
  • Reviewing results for decision making
  • Stress testing in the context of the total risk appetite framework of a bank

Chris Jarvill, Director – Risk, International Stress Testing, Bank of America Merrill Lynch
Erica Sassu, Director, Enterprise Scenario Planning and Execution, Bank of America Merrill Lynch

17:05 Reviewing The PRA’s 2017 Bi-Annual Exploratory Exercise And Data Model Changes For Better Understanding Of What Is To Come

  • Data and format requirements
  • Understanding PRA’s reasoning
  • Modelling requirements
  • New core data model: Understanding the changes
  • Implementing XBRL (data format) for 2018

17:40 Chair’s Closing Remarks

17:50 End of Day One and Networking Drinks Reception

3rd Colleague Half Price

Day Two | 6 October 2016

08.30 Registration & Morning Coffee

08.50 Chairs’ Opening Remarks

KEYNOTE ADDRESS
09:00 Stress Testing at the SSM

  • EBA Stress Test 2016
  • SREP Stress Test
  • Risk Assessment System (RAS) of the SREP

Phillip Koziol, Deputy Team Leader Credit Risk Stress Testing Team, SSM Risk Analysis Division, European Central Bank

PANEL DISCUSSION
09:35 Reviewing Requirements Across Multiple Regulators And Benefits Of A Potential Convergence For A More Unified Approach

  • Evolving to incorporate methodological changes in next years stresses
  • Overlap in timelines
  • EBA/PRA/FED/EIOPA
  • Running different stress tests for different regulators with slightly different requirements
  • Ensuring regulatory stresses are consistent in their messaging
  • Workload – schedule of the regulatory stress testing
    • Publishing scenarios further in advance
  • Operational expense
  • Data requirements

Anant Saxena, Director, Global Head of Scenario Design and Methodology, Credit Suisse
Gael Robert, Head of Risk Analytics, Mizuho International
Matthew Sandoe, Head of Strategic Risk Analysis and Reporting for Market, Counterparty and Liquidity risks, BNP Paribas (tbc)
Mario Onorato, Group Head of Financial and Credit Risk, Generali

10:25 Morning Refreshment Break & Networking

LIQUIDITY
10:55 Integrating Liquidity Stress Testing Into the Wider Framework For A More Consistent Approach Across Risk Classes

  • Bespoke stress test for liquidity
  • Nature of events in liquidity risk different to macro-economic stress testing
    • Different time horizons
  • How liquidity stress testing fits into the wider framework
  • Balance sheet projection methodology

11:30 The Role Of Stress Testing In Risk And Capital Management

  • Implemented stress testing approaches: objectives, governance, scenario selection, risk drivers, use of results;
  • Experiences from the 2016 EBA stress test
  • Challenges for the future

Wessel Douma, Head of Risk & Capital Integration, ING Bank

PANEL DISCUSSION
ENTERPRISE STRESS TESTING
12:05 Incorporating An Enterprise Wide Stress Testing Framework For A Firm Wide View Across All Risk Types

  • Consistent Balance sheet projections
  • Integrating consistent approaches across all risks for risk factor modelling
  • P&L analysis separate from liquidity
  • Capital availability and requirement projections
  • Holistic risk management

Trevor Wells, Global Head of Wholesale Credit and Market Risk Stress Testing, HSBC
Gianluca Cantalupi, Head of UK IB Credit Portfolio Management/Head of Counterparty Credit Risk Stress Testing & Regulatory Analysis, Credit Suisse
Catherine Toupin-Dumont, Global Head of Stress Testing, Nomura
Mathieu Perona, Head of Group Credit Stress Testing Methodologies, Societe Generale

12:55 Lunch Break & Networking

13:55 Use of Scenario-Based Assessments – Credit Risk Framework

  • Pillar 2A – Regulatory Context
  • Risk identification framework
  • Linkage with risk appetite setting
  • Scenario-Based Risk Assessment
  • Impact on business profitability

Gianluca Cantalupi, Head of UK IB Credit Portfolio Management/Head of Counterparty Credit Risk Stress Testing & Regulatory Analysis, Credit Suisse

14:30 Encouraging General Engagement Across Departments And Senior Management For Early Buy In Across The Board

  • Board Engagement
    • Challenging assumptions
    • Appropriate documentation of commentary and discussions to the board
  • Involvement from different teams
  • How senior management are involved?

Wayne Dabideen, Head of ICAAP & Capital Stress Testing, UK/Ireland, BNY Mellon

15:05 Assessing Methods For Incorporating Operational Risk Into Stress Tests For Full Risk Review

  • Operational risk capital model
  • Revised standardised model
    • Buy-in to the revised standardised model
  • Lack of data in comparison to credit risk or market risk
  • Expert judgment scenarios or quantitative methods
  • Stressing operational risk internally
  • Firm specific challenges

15:40 Afternoon Refreshment Break & Networking

16:10 Building a CCAR Compliant Operational Risk Stress Model

  • Quantitative models versus expert judgement
  • How to make it forward looking
  • Estimating legal losses under stress
  • Assumption and sensitivity testing
  • Solutions for group versus legal entities

Christiane Hoppe-Oehl, Head of Operational Risk and Reverse Stress Testing, UBS

POLITICAL INFLUENCES
16:45 How to deal with Black Swans in Stress Testing:
Assessing Uncertainty Around The Evolving Geo-Political Environment and newly emerging Non-Financial Risks

  • Heatmap for Geo-Political and Non-Financial Risks
  • Probability Distribution for Black Swan Risks
  • Coming up with a stress scenario for these type of Geo-Political and Non-Financial Risks
  • Severity of scenarios in Benchmark and Stressed Forecasts
  • Integration of Geo-Political Risks in Capital Plan and Stress Test Environments

Andrea Burgtorf, Head of Group Risk Operating Office, Erste Group

17:20 Chair’s Closing Remarks & End of Summit

Attend the Stress Testing Europe 2016 Summit to hear from the following presenters and panelists

REGULATORY KEYNOTE ADDRESSES


Phillip Koziol
Deputy Team Leader Credit Risk Stress Testing Team SSM Risk Analysis Division
European Central Bank


Ashley Kibblewhite
Head of Risk Architecture, Supervisory Risk Specialists
Bank of England


Tim Clark
Deputy Director, Division of Banking Supervision and Regulation
Federal Reserve Board (tbc)

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Philipp began his career at the European Central Bank as a Research Analyst in the Capital Markets and Financial Structure in 2008. In 2009, he moved to Deutsche Bundesbank where he worked as an Economist, monitoring and analysing the financial sector as well as designing financial market stabilisation measures and national resolution schemes. As of 2011, Philipp worked in the banking supervision department at Bundesbank where he assumed the position of deputy section chief of stress testing. His tasks mainly focussed on stress testing such as the EBA Stress tests, IMF FSAPs and SREP stress tests as well as risk analyses of the German banks. In the course of the built-up of the Single Supervision Mechanism Philipp joined the ECB’s SSM Risk Analysis Division dealing with risk analysis of SSM significant institutions such as stress testing. As of April 2016 Philipp is leading the credit risk team for the EU-wide Stress Test 2016.

Philipp received a doctoral degree from the WHU – Otto Beisheim School of Management in Vallendar and has studied Business Engineering at the Karlsruhe Institute of Technology (KIT). He serves as an adjunct lecturer at the University of Goettingen teaching courses on banking supervision.

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Ashley will be presenting at the upcoming Stress Testing Europe 2016 Summit, where he will discuss the evolving stress testing processes and requirements and review the next phase of development.

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Tim Clark, Deputy Director, Division of Banking Supervision and Regulation at the Federal Reserve Board will review the US Stress Tests and look towards the future on his Day One Keynote Address



Sanjay Agrawal, Founder and President, CIMCON Software

Sanjay is the Founder and President of CIMCON Software, with over 24 years of experience in risk management, data governance, and compliance. He has led CIMCON from an initial start-up stage to become the market leader in End User Computing (EUC) Governance, Risk and Compliance (GRC) with the largest installed client base in 30 countries, including the world’s largest financial services companies in banking, insurance and asset management. Under his leadership, CIMCON has played a pioneering role in developing and advancing the end user computing (EUC) market over the last 20 years, and in developing many innovative tools and technologies. He is responsible for the strategic direction of the company and advocating best practices to reduce spreadsheet model risk.



John Brent, Head of Stress Testing Policy & Model Governance, HSBC

John will be presenting at the upcoming Stress Testing Europe 2016 Summit



Andrea Burgtorf, Head of Group Risk Operating Office, Erste Group

Andrea Burgtorf joined ERSTE Bank in Vienna in 2014 as Group Risk Operating Officer and Advisor to the CRO. She is responsible for Regulatory Management, Cross Risk Topics and Risk Strategy. Previously, Andrea worked for Deutsche Bank Enterprise Risk Management as Head of Stress Testing with focus on Group Wide Stress Tests, including regulatory stresstests, benchmark und extreme scenario stresstests as well as Reverse Stress Test and Recovery Planning. Andrea holds a PhD in Finance from the WHU – Otto Beisheim School of Management – in Coblence.



Gianluca Cantalupi, Head of UK IB Credit Portfolio Management/Head of Counterparty Credit Risk Stress Testing & Regulatory Analysis, Credit Suisse

Gianluca is Head of UK IB Credit Portfolio Management at Credit Suisse. He is involved in all aspects regarding the credit risk appetite framework, for a global portfolio that ranges from vanilla loans to the more complex structured derivatives. His team is responsible for the management of portfolio concentration, including country, industry and product limits.

Prior to this, Gianluca worked a short period in RBS.

Gianluca also covered a Senior Financial Engineer role at Algorithmics, leading projects on Market and Credit Risk, ALM and Liquidity/Solvency II.

Prior to Algorithmics, Gianluca started his career as a strategist/trader for FCT group.



Wayne Dabideen, Head of ICAAP & Capital Stress Testing, UK/Ireland, BNY Mellon

Wayne’s team is responsible for ensuring that the ICAAP assessments of overall capital adequacy, in relation to its risk profile, are taken into account when developing the annual capital plans. This includes capital stress testing, sensitivity analysis and reverse-stress testing.

Wayne has over 10 years of financial services risk management experience acquired through academia (teaching at University of Toronto), industry, regulatory and advisory in North America, the UK, Europe, the Middle East and Asia Pacific.


Luca D’Amico, EMEA Head of Risk Management Sales, Copal Amba (A Moody’s Analytics Company)

Luca D’Amico is EMEA Head of Risk Management Sales at Copal Amba (a Moody’s Analytics Company). Before joining Copal Amba, he served as Sales Director at Moody’s Analytics for 4 years, looking after several EMEA strategic clients (banks, insurance companies, corporates, asset managers, and institutional clients). He has several years of experience in the risk management space, including the retail consumer market and the large corporate segment. Luca holds a degree in Business Law and a Master of Business Administration from Bocconi School of Business. He is a member of the Advisory Board of the Master in Credit Risk Management – Universita’ Cattolica del Sacro Cuore (in Italy).



Wessel Douma, Head of Risk & Capital Integration, ING Bank

Wessel Douma is Head of Risk & Capital Integration. R&CI plays an important intermediary role between the risk and the finance domains. The main focus of R&CI is on ING Bank’s capital and balance sheet planning, taking the lead in setting and monitoring ING Bank’s Risk Appetite Statements, managing the ICAAP (Internal Capital Adequacy Assessment Process), performing stress tests, and managing ING’s Recovery and Resolution Plans.

Wessel has more than 20 years of experience in banking and particularly in risk management. Over the years he has held a number of different positions and led a number of different teams in Trading Risk management, Retail Risk management and Risk & Capital Integration, in both the Netherlands and Hong Kong.



Thomas Groen, Head of Capital & Liquidity Risk and Stress Testing, Barclays

Thomas started his career in ABN AMRO where he worked for thirteen years. He held roles in Market Risk and Credit Risk before moving to the front office holding a derivate sales role on the Trading Floor. His last role at ABN AMRO was Head of Treasury Capital Planning in where he was responsible for the capital plans on which the bank was re-capitalized after state-ownership of the businesses. He moved to Barclays in 2011 and became Head of Group-wide stress testing and his role expanded to include management of Capital and Liquidity Risk as well as owner of the Risk Appetite process of the bank.

Thomas holds a Master in International Economics.



Christiane Hoppe-Oehl, Head of Operational Risk and Reverse Stress Testing, UBS

Christiane is responsible for UBS Operational Risk Stress Modelling and Reverse Stress Testing. Currently Christiane is heavily involved in making models CCAR compliant and enhancing processes to identify and measure key idiosyncratic risks. Prior to the current role she worked in market risk modelling, risk and performance measurement, trading, structuring, pricing of structured products, and credit risk modelling.



Dr Evgueni Ivantsov, Head of Portfolio Management & Strategy, Lloyds Banking Group Chairman, European Risk Management Council

Dr Evgueni Ivantsov is Chairman of the European Risk Management Council and author of Heads or Tails: Financial Disaster, Risk Management and Survival Strategy in the World of Extreme Risk. He is a member of the Advisory Group on Global Risks of the World Economic Forum. Evgueni has a more than 20-year career in the banking sector working in global and large banks like HSBC, Lloyds Banking Group, ING Group and Banque Bruxelles Lambert. In his risk management career, he was responsible for areas like stress testing including regulatory stress tests (e.g. UK industry wide stress test, reverse stress test, EBA stress test), risk appetite, portfolio risk optimisation and global risk analytics. Dr Ivantsov is also a visiting lecturer in Cass Business School in London and before was an adjunct Professor of International Economics at the Boston University and an adjunct Professor of Money, Banking and Credit at the United Business Institutes in Brussels.



Chris Jarvill, Director, Risk – International Stress Testing, Bank of America Merrill Lynch

Chris joined Global Risk Management at the Bank of America Merrill Lynch in September 2014, and currently provides strategy coordination across the Global Stress Testing / Global Recovery & Resolution Planning, CFO Risk and EMEA Operational Risk Teams.

Prior to joining the firm, Chris spent five years at Deutsche Bank in the Risk Division, delivering strategic initiatives across for the Risk Chief Operating Officer, though his first role in the industry was with the Royal Bank of Scotland principally building out the Loans Market Middle Office.

Chris previously served as an Officer in the British Army and graduated from The University of Liverpool with a degree in engineering.



Adrian Maconick, Spreadsheet Risk Management Expert, Finsbury Solutions Ltd.

Adrian is an expert on operational and financial risk management, and with many years’ experience solving risk management problems in the banking and insurance industries. He has particular expertise in model risk and end user computing. Example experience includes model validation for the first AAA derivative vehicle set up in London, Head of Operations for the EBRD during a period of rapid transaction growth and the development of FBA, an integrated risk and finance architecture used by leading banks and insurance companies.

Adrian’s in-depth knowledge of regulated industries and data governance covers requirements such as Solvency II, BCBS 239, Basel III, CRD IV, SR11-7, Stress Testing & Sarbanes Oxley.  With over 25 years’ experience in financial services consulting, Adrian has a track record of delivering outstanding results.  He has a degree from Cambridge and is a qualified Chartered Accountant.



Mario Onerato, Group Head of Financial and Credit Risk, Generali

Mario is Group Head Financial and Credit Risk at Generali and Honorary Professor of the Risk Management Practice at the Cass Business School, City University, London. Previously was Global Practice Leader of Capital and Liquidity Solutions at IBM Risk Analytics former Algorithmics Inc. Prior to joining Algorithmics, Mario was Head of Economic Capital at Misys Banking Systems and Corporate Finance Senior Consultant at Sanwa Bank. Mario has held a number of academic positions in The Netherlands and the UK, he is author of several books and research papers. Mario holds a PhD in Finance



Mathieu Perona, Head of Group Credit Stress Testing Methodologies, Societe Generale

Mathieu is currently leading the steering and stress-testing methodology team at Societe Generale. They develop and test methods and tools for stress testing credit, market and operational risk, as well as methods and tools for quantitative enterprise risk assessment (e.g. risk concentration in credit portfolios).
Mathieu’s team provide methodological support for stress-testing in risk departments and affiliates and for ICAAP reports. They contribute to the formalization of the Group risk appetite framework and risk appetite statement. He holds a PhD in Economics and a MSc in Statistics and Econometrics.



Gael Robert, Head of Risk Analytics, Mizuho International

I have started my career at Societe Generale’s Economic Research Department focusing on the Eurozone. In the past 10 years, I have been working on Counterparty Credit Risk modelling (PFE, EEPE, CVA) for Societe Generale, Deutsche Bank and Rabobank International in Paris, Tokyo and Hong Kong, putting in place centralised Monte Carlo frameworks, developing analytics for wrong-way risk and non-vanilla transactions. I hold a M.Sc. in Statistics & Economics from ParisTech ENSAE and a Master’s Degree from Sciences-Po Paris. I am also a CQF and FRM delegate.

I am currently working within Mizuho International Risk Department reshaping Credit Risk methodologies (PFE, CVA, Capital, Stress Tests). Maintaining consistency between Risk and Capital has been at the heart of my approach to analytics. FRTB being the next key milestone in this regard.



Matthew Sandoe, Head of Strategic Risk Analysis and Reporting for Market, Counterparty and Liquidity risks, BNP Paribas

Matt has been working within capital markets since 1996 in both New York and London. His main experience (and current role) is the management of three highly connected risk frameworks: A) Risk Analysis and Reporting, B) Stress Testing and C) Internal Model Capital. His scope is primarily on market and counterparty risk. He has lead all of the EBA Stress Test programs for Capital market Risks, delivered the Basel III Stress Testing certification and is now involved on the CCAR platform for BNP Paribas’ Intermediate Holding Company in North America. He is also responsible for delivering Enterprise Risk Management information for the BNP Paribas Board and executive committees.



Erica Sassu, Director, Enterprise Scenario Planning and Execution, Bank of America Merrill Lynch

Erica is a Director in the Enterprise Scenario Planning and Executive; responsible for the coordination of the Stress Testing and Recovery and Resolution Planning deliverables for the UK legal entities.

She joined the Bank in September 2014 as Vice President working in the International Stress Testing team in order to execute the stress testing exercise for the UK legal entities. In January 2016 she has been promoted Director as she took further responsibilities in the Enterprise Scenario Planning and Execution department.

Prior to Bank of America Merrill Lynch, she was a Senior Manager in EY in the Quantitative Advisory Services practice. She spent 6 years gaining experience in Financial Services on stress testing, credit risk modelling, model validation and OTC derivative valuation.

Erica obtained an MSc in Quantitative Finance (La Sapienza University, Rome) in 2008 and the GARP professional qualification as Financial Risk Manager in 2009.

Erica lives in London with her husband since 2010. Prior to that she spent 4 years in Luxembourg where she worked for a Private Bank and a Consulting Firm. She enjoys spending time with family and friends and travelling.



Anant Saxena, Director, Global Head of Scenario Design and Methodology, Credit Suisse

Anant is Lead of designing firm-wide macro scenarios and presenting them to CS senior management across Risk and Front Office. This would include scenarios related to macro events, policy risks and crowded trades. Also globally responsible for designing the modelling framework to support scenario analysis which helps translate macroeconomics into financial impacts.

These scenarios form backbone of firm’s BoD Risk Appetite statement, as well as used by CS global regulators (FINMA, PRA, Fed) to assess financial stability of the firm.



Catherine Toupin-Dumont, Global Head of Stress Testing, Nomura

Catherine Toupin-Dumont is the global head of stress testing for Nomura, responsible for the strategic development of stress testing globally. She is a seasoned risk professional who came to stress testing from Market risk after the financial crisis of 2008. She has been with Nomura for several years being EMEA head of stress testing between June 2010 and May 2012 and Equity derivatives risk manager from March 2007.

Between 2004 and 2007, she worked for Commerzbank as a risk controller covering mostly the equity asset class.

Catherine holds a PhD in plasma physics from University Paris XI – Orsay.



Sunil Verma, Head of Market Risk Stress Testing Methodology, UBS

Sunil will be presenting at the Stress Testing Europe 2016 Summit.



Trevor Wells, Global Head of Wholesale Credit and Market Risk Stress Testing, HSBC

Trevor will be presenting at the Stress Testing Europe 2016 Summit

5th July 2016
Bank of England

Reviewing Evolving Stress Testing Processes: BAU, Data and The Practicalities of Running A Stress Test

1st July 2016
RICHARD REEVES

Embedding A Data Framework To Support Stress Testing Requirements And Ensure BCBS 239 Compliance

1st July 2016
OLIVER FIALA

Effectively Calculating Lifetime Expected Losses And Review Of Definitons Under IFRS 9

1st July 2016
Christain Hoppe Ohel

Building a CCAR Compliant Operational Risk Stress Model

17th March 2016
Asset Control Banner

Stress Testing: The Case for a Central, Cross-Product Function

23rd September 2015
BCS Consulting

Stress Testing And Scenario Analysis: Riding Out The Storm

22nd September 2015
Unknown-1

Aligning Risk, Treasury And Finance Departments For Better Interpretation And Regulatory Oversight Of Stress Testing

 
15th September 2015
Unknown-2

Ensuring Granularity Of Data To Comply With Regulatory Imposed Stress Tests

8th September 2015
Unknown-1

Resilient Stress Testing Platforms: Top 4 Considerations

4th September 2015

Addressing The Challenges Of Validating Stress Testing Models

26th August 2015

Understanding Regulatory Requirements And Improving Resilience To Change

 
28th July 2015
Martijn Groot

Stress Testing – The Challenges of Reporting and Submitting Under Different jurisdictions

CFP interviews Martijn Groot, VP of Product Management at Asset Control, for insights on the key challenges to reporting and submitting under different jurisdictions, the relevance of data governance, and how stress testing is changing.
15th July 2015

Analysing Stress testing Results and Preparing For Next Time

The Center for Financial Professionals Interview Alex Frankl, Head of Risk, BCS Consulting 1) Please tell us a little bit about yourself, your role and your […]
15th July 2015

Stress Testing Data

The Center for Financial Professionals Interview Rajib Chakravorty, Senior Project Manager, Data Management, HSBC 1. Rajib, please tell us a little about yourself and your background […]
15th July 2015

Integrated Stress Testing

Co-Sponsors:

Analytic Risk Technology


Analytic Risk Technology is a startup company specialising in stress testing tools and consultancy with a focus on the top level of the process.
Our key product offering is a Capital Management Tool which, as it produces the final results, is the right place to bring together and control the results from the many moving parts that form a complex stress test.

Some banks are still doing this top layer in less controlled ways (e.g. spreadsheets) which is not sustainable given the requirements to scale up to more stress tests and more scenarios, and the significance of the results.
It’s also applicable to regulators, as this level of control at the top level allows for an efficient mixture of internal modelling and benchmarking, making it feasible to run a supervisory stress test initiative with a reasonable regulatory effort.

The company was founded by Timothy Murnaghan who was responsible for the stress test tools and stress testing data collection effort at the PRA/Bank of England leading up to the introduction of the FPC concurrent stress tests, and so the importance of this layer of tooling is informed by that experience.

CIMCON Software


Spreadsheet risks continue to proliferate rapidly amongst increasing regulatory scrutiny.

Spreadsheet risks include financial errors resulting in business losses, trading losses, financial misreporting, and regulatory penalties that can affect a firm’s reputation and stock price.

CIMCON Software delivers a sustainable approach to managing and reducing spreadsheet risks and improving data quality, integrity and compliance by managing the complete spreadsheet life cycle. The CIMCON Solution includes a set of modular yet integrated tools: XLRisk for Inventory, Risk Assessment and Data Lineage, XLAudit for Integrity Checking and Remediation, and SOX-XL for Monitoring and Controls.

Copal Amba


Copal Amba is the leading provider of offshore research and analytics services to global financial and corporate sectors. We have consistently been ranked #1 in our space by multiple independent customer satisfaction surveys. Our clients include leading bulge-bracket financial institutions, Fortune 100 corporations, mid-tier companies, boutique investment banks, and funds.

We support over 140 institutional clients through our team of 2,600+ employees. Our 9 delivery centers are located close to our clients and in proximity to scalable talent pools. Our clients have saved over USD1.9 billion over the past 13 years, by using our services to enhance front office efficiency.

Copal Amba is a Moody’s Analytics company.

Crisil


CRISIL Global Research & Analytics (GR&A) is the world’s largest and top-ranked provider of high-end research and analytics services. We are the world’s largest provider of equity and credit research services. We are also the foremost provider of end-to-end risk and analytics services to trading and risk management functions at world’s leading financial institutions and corporations. We offer corporate strategy, competitive intelligence and key account management support to corporations globally.We operate from research centers in Argentina, China, India and Poland, working with our clients across several time zones and in multiple languages. We are proud to be an organization that has the vision to proactively investing in its people and get them future-ready. We are committed to delivering cutting-edge analysis, opinions, and solutions. This is in line with our goal of ‘making markets function better’.

We have the largest teams of equity and fixed income analysts, quantitative, regulatory, risk and actuarial specialists in the world outside of banks. Our employee base comprises over 2300 people, 75% of whom hold advanced degrees in finance, accounting (CFAs), risk management (FRM etc.), quantitative techniques, pure sciences (PhDs) and management (MBAs).

Finsbury Solutions Ltd


Finsbury Solutions is a world leading provider of spreadsheet risk management solutions and software. We specialize in governance and risk management control solutions in financial institutions, with over 300 customers globally. Our management team has decades of experience in transforming business operations and solving risk issues in banks, insurance companies, asset management firms, broker/dealers and regulatory institutions. We understand the challenges that managers face and can offer practical solutions to business problems and have been doing so successfully since Finsbury Solution’s inception in 2006.

Media Publications

We are happy to support publications, associations and organisations at this event. From a simple company listing with your logo to taking advantage of some of our sponsor benefits listed above. To discuss a media partnership further please email olympia.nolan@cefpro.com or call +44 (0)20 7164 6582.

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The Grange City Hotel
8-14 Coopers Row
EC3N 2BQ
London

Preferential rates available
Attendees can obtain a preferential rate of only £199+vat to stay at the Grange City hotel. Click here to book online or contact reservations on +44 20 7233 7888 or email at reservations@grangehotels.com, quoting ‘CCT166925’.

Download the Risk Insights App

Interact with your colleagues, peers and industry thought-leaders live at the Stress Testing Europe 2016 Summit.

Our Risk Insights App provides an audience interaction participation tool at the Summit which allows you to ask speakers and panelists questions throughout the sessions and engage in industry polls with other senior risk professionals.

All Summit information is available at a click of a button such as the two day agenda, the Summit presentations, biographies of all presenters,  venue map and surveys.

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Sponsor the App. For more information, email us.

ANDROID and APPLE USERS

1. Search for “Risk Insights” on your relevant app store.

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2. Log in using your Center for Financial Professionals’ login details. (If you are a new user please create an account here)

3. Select “Interact at the Event” to view all the interaction tools for the Summit. If the event does not appear, please use the Guest log in and refer to your emails for the password.

Here you will be able to access all details you need prior and during the event, i.e presentations, agenda and map. The polls and ask a question features will be used during the course of the two days so make sure to keep your phones handy during the event.

OTHER DEVICES

We have a web App available to use through your phone internet browser. At the event visit www.cefpro.com/app and simply select Stress Testing Europe 2016, then enter your details and the access code (refer to your emails for the code)

If you are having any issues please feel free to drop us a call on +44 (0)20 7164 6582 and a member of the team will be able to help you out.

After the Event

Keep the Risk Insights App after the event to browse risk and regulation insights, share and save articles, and receive notifications on the latest challenges all within your professional interests. Our network of authors range from risk professionals within banking risk, financial regulation, market risk, credit risk, operational risk and treasury/balance sheet management.

Frequently Asked Questions

Can I present at Stress Testing Europe 2016?

Yes, the Center for Financial Professionals are happy to discuss speaking opportunities at Stress Testing Europe 2016. For further information on this please contact daniel.nunes@cefpro.com or call us on +44 (0) 20 7164 6582

Are there any rules on the dress code?

Business attire is requested. The Summit is a formal opportunity to network with like-minded professionals and to gain knowledge from the industry’s finest risk management experts.

What is the cost and what is included in the registration fee?

We offer incentives for ‘early bird’ registrants of the Summit, as outlined on our pricing structure.

Registration includes breakfast, refreshment breaks, lunches, the cocktail reception at the end of Day One, full access to the Summit sessions and exhibition area. Presentations from sessions are also available, subject to speaker approval.

Where can I find the Summit documentation and speaker presentations?

All registered attendees will receive an email with access to documentation and speaker presentations after the Summit*

We will work with our presenters to include as many presentations as possible on our Risk Insights App during the Summit.

*Please note that our speakers often have to gain permission from their relevant compliance departments to release their presentations. On rare occasions compliance may not allow presentations to be distributed.

Will breakfast, lunch and refreshment be provided?

Yes. As with all of our events the Center for Financial Professionals will be providing brilliant coffee, breakfast, lunch, refreshments, and smaller bites during the networking breaks.

Will there be opportunities to network with other attendees?

There are ample opportunities for networking and interaction throughout the Summit, such as

  • Breakfast, lunch and refreshment breaks
  • Cocktail reception at the end of the first day of the Summit (Subject to confirmation)
  • Q&A, panel discussions and audience participation technology available through the Risk Insights App
I have several colleagues that would like to attend, is there a group discount?

Certainly! We are pleased to offer you a 50% discount on the third registration or provide a fifth registration for free.
If you would like to register more than five colleagues please contact us on +44 (0) 20 7164 6582

Please note:

  • Registrations must be made at the same time
  • Registrations must come from the organisation
  • The lowest registration will be discounted
Are there opportunities to share my thought-leadership at Stress Testing Europe 2016?

Yes there are plenty of opportunities for the Center for Financial Professionals to share thought-leadership to the attendees of Stress Testing Europe 2016 and our wider risk professionals community.

At the event
We can distribute your material to the attendees, offer you an exhibition booth, and provide speaking opportunities so that you may enjoy a more prominent presence at the Summit. Visit the Sponsor tab for further information or contact sales@cefpro.com / +1 888 677 7007.

Risk Insights
Feature your content on our Risk Insights website and supporting Risk Insights monthly newsletter. For further information please download our media pack here.

Are media partnerships available for Stress Testing Europe 2016?

Yes. As part of a media partnership we can offer a variety of options to increase the branding and awareness of your association, company, certificate, publication or media. We are flexible with what we can offer however we usually:

  • Provide a discounted rate to attend
  • Place your logo and profile on the Summit website
  • Place your logo on the Summit brochure
  • Place your logo on promotional content where applicable
  • Distribute your media/marketing at the Summit
  • Promote through social media channels

To discuss this further please contact jesse.hopkins@cefpro.com or call +44 (0) 20 7164 6582.

See what other practitioners had to say about our Stress Testing Europe 2015 congress

“Inspiring congress and some new insights from an auditor perspective.”

SNS Bank


“Excellent workshop. I have previously attended other workshops but it was comparatively better. Covered the basics and walked through the advanced states. Wonderful.”

Punjab National Bank (International) Limited


“Very enjoyable and informative. As someone relatively new to Stress Testing, this has been a crash course in approaching the key issues but also gives us a lot to think about and take forward. As I’m in a governance role, this has given me an idea of the questions to ask and where we need to improve our practices.”

Royal Bank of Scotland


“Very good organisation, time management, venue and services. Great opportunity to understand Stress Testing in various degrees. Great place for sharing views and networking.”

Credit Suisse


“A great brainstorming session. Various inputs with multiple spheres of Stress Testing and Data Management.”

PNBJL


“The selection of topics and presenters were very good. I also enjoyed the networking opportunities.”

Barclays


“The Operational Risk session was a perfect presentation which provided excellent insight.”

Bank of Ireland UK

Registration Rates Super Early Bird
Early Bird
Standard Rate
Register now
Stress Testing Europe 2016 | 5-6 October £899
(Register by 26 August to save £600)
£1099
(Register by 16 September to save £400)
£1499 Register

All prices subject to UK VAT, currently 20%

Group Bookings:

Group rates are available for 2 or more attendees from the same organisation, when registering at the same time. The current rate allows every third colleague to come along for half price! or a fifth colleague to attend for free

Other ways to register

1. Save Time – Register by Email

Simply email us with your e-signature – and we will do the rest for you!

2. Contact Us Directly

3. Download the PDF Registration Form

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Co-Sponsors

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