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

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4TH ANNUAL

Stress Testing Europe 2016

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

Key highlights of the summit

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)

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.

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

BOARD ENGAGEMENT
Encouraging general engagement across departments and senior management for early buy in across the board

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

Norbert 
Janssen

Senior Manager Risk Data, Risk Analytics & Data, Supervisory Risk Specialists


Bank of England



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 Global Stress Testing Model Governance & Policy


HSBC

Trevor
Wells

Global Head of Wholesale Credit and Market Risk Stress Testing


HSBC

Chris
Jarvill

Director, Enterprise Scenario Planning and Execution


Bank of America Merrill Lynch

Thomas
Groen

Head of Capital & Liquidity Risk and Stress Testing


Barclays

Day One | 5 October 2016

08.00 Registration & morning coffee

08.35 Chairs’ opening remarks

PANEL DISCUSSION
08:45 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
Christopher Warhurst, Head of Pricing and Optimisation, Counterparty and Liquidity risks, 4most Europe Ltd

09:30 A review on stress testing, financial planning and IFRS 9

  • 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

10:00 Morning refreshment break & networking

10:30 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
  • Implementation across different regulations
  • Stress scenario creation and selection
  • PD stress test modeling

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)

11:30 Stress testing best practices 

  • The role of stress testing in the investment process
  • Motivation for using hypothetical scenarios to assess portfolio resilience
  • A step by step guide to constructing hypothetical scenarios
  • An illustrated example on a Rise of Populism Scenario

 Carlo Acerbi, Executive Director, MSCI

 

12.00 Lunch break & networking

MODEL RISK
13:00 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 Global Stress Testing Model Governance & Policy, HSBC

13:30 Implementing an effective governance framework to manage End User Computing (EUC) model risk

  • 2016 Stress Test Results 
  • EUC Model Risks
  • Complying with BCBS 239 and SR 11-7
  • Implementing an Effective Governance Framework
  • Quantifying the Unknown
  • Understanding Data Flows
  • Ensuring End User Adoption
Sanjay Agrawal, Founder and President, CIMCON Software

PANEL DISCUSSION
DATA AND BCBS 239
14:00 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
Sunil Verma,
Head of Market Risk Stress Testing Methodology, UBS

14:45 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

15:15 Afternoon refreshment break & networking

DOUBLE SESSION
BUSINESS PLANNING AND RISK MANAGEMENT
15:45 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

16:45 Creating firm data foundations for the building of effective stress tests

  • Data, data architecture and effective stress testing
  • The Bank of England’s “Core Data” initiative
  • Data submission formats – is there an optimal format?
  • BCBS 239 and stress testing data
  • The role of data in stress testing models and analysis

Norbert Janssen, Senior Manager Risk Data, Risk Analytics & Data, Supervisory Risk Specialists, Bank of England

17:15 Chair’s closing remarks

17:25 End of day one and networking drinks reception

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
09:30 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
Mario Onorato, Group Head of Financial and Credit Risk, Generali

10:15 Morning refreshment break & networking

10.45 A unified regulatory stress testing platform

  • Commonalities and differences between various regulatory stress testing regimes (CCAR, EBA, PRA etc)
  • Expectations: ex: models, senstivity analyses, processes and reporting
  • Wishlist of functionalities
  • Challenges and solution

Nageswara Sastry Ganduri, Director, Risk & Analytics, CRISIL GR&A

DOUBLE SESSION
11:15 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

Tom Van Zalen, Head of Capital Planning, ING Bank N.V.
Tim Murnaghan,
Director, Analytic Risk Technology

12:15 Lunch break & networking

 13:15 Supporting next generation stress testing for banks
  •  Automated workflows servicing decision-making capabilities
  • Stress Testing as a collaborative process
  • BCBS 239 –compliant stress testing programs
  • The IFRS 9 challenge
Carles Herrero, Director, Solution Specialist, Moody’s Analytics

PANEL DISCUSSION
ENTERPRISE STRESS TESTING
14:00 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
Catherine Toupin-Dumont, Global Head of Stress Testing, Nomura
Mathieu Perona, Head of Group Credit Stress Testing Methodologies, Societe Generale

14:30 Data & Technology as it relates to Model Goverance

  • How can organisations manage their financial models holistically
  • Best practice approach to managing data quality
  • The impact of poor data on financial modelling
  • How technology can support robust model risk governance
Henry Umney, Director, ClusterSeven
Colin Farquhar, Director, Data Management and Advanced Analytics Solutions, Protiviti

15:00 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

15:30 Afternoon refreshment break

16:00 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
16:30 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

17:00 Chair’s closing remarks & end of summit

3rd Colleague Half Price

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


Norbert Janssen
Senior Manager Risk Data, Risk Analytics & Data, Supervisory Risk Specialists,
Bank of England

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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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Norbert Janssen started his career at the Bank of England more than 20 years ago as a monetary policy analyst. After a spell in academia, he returned to the Bank to lead the team responsible for the compilation and publication of the UK banking sector’s balance sheet, and money and credit statistics. He now leads the Risk Data Team, which is responsible for the coordination of the data requirements to undertake the Bank of England’s annual concurrent stress test and the management of the data submissions from the firms participating in the stress test.



Carlo Acerbi, Executive Director, MSCI
Carlo Acerbi currently works in the Geneva office, as a risk researcher. His main areas of interest in finance are risk management and derivatives pricing.
Before joining MSCI, Dr Acerbi worked as a Risk Manager and as a Financial Engineer for some Italian major banks, as well as a senior expert in the risk practice of McKinsey & Co.
He is the author of several papers in renowned international journals, focusing in particular on the theoretical foundations of financial risk and the extension of portfolio theory to illiquid markets. He has taught “advanced derivatives” at Bocconi University, Milan and is currently an Executive Fellow of the Essex Business School (UK).
He has been for years a member of the board of ‘The Journal of Risk’.
Dr Acerbi received a Ph.D. in Theoretical Physics from the International School for Advanced Studies (SISSA – ISAS), Trieste, Italy, before turning to Finance in 1997.


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 Global Stress Testing Model Governance & Policy, HSBC
John is currently Head of Global Stress Testing Model Governance and Policy at HSBC, with responsibilities including the definition and co-ordination of the model governance and the assessment of model risk for HSBC’s global stress tests. John has over 20 years experience in the industry including at the Bank of England, Financial Services Authority, ABN Amro and Royal Bank of Scotland where he has held roles in Market and Traded Risk and Country Risk and more recently focused on enterprise Stress Testing.


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.



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).



Colin Farquhar, Director, Protiviti Ltd
Colin is Director at Protiviti Risk Consulting, within the Model Risk and Capital Management practice, based London. The practice works with clients on engagements covering risk analytics, portfolio stress testing, capital management, IFRS9 impairment analysis, and related regulatory analytics’ topics. He has over 20 years of finance industry experience, leading Wholesale, Investment and Retail banking risk teams: serving as co-head of Risk Advisory at IBM; Managing Director of Risk Advisory at Fitch Group; Vice President, Credit Risk Analytics at Credit Suisse. He has wide product knowledge, spanning risk analytics, technology and data services for the banking and trading books.


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.



Carles Herrero, Director, Stress Testing Specialist, Moody’s Analytics
Mr. Carles Herrero is a Director at Moody’s Analytics and part of the EMEA Stress Testing Specialists team. Mr. Herrero is responsible for advising bank organisations in EMEA on the latest developments in the field of stress testing. His teams positions Moody’s Analytics offering on advisory, data, software and consulting services to address current market needs in relation to regulatory and internal stress testing programs. Previous to his position in Moody’s Analytics, Mr. Herrero held a number of positions related to financial risk management including roles as business development manager, presales specialist, advisory consultant and account manager; covering Market Risk, Enterprise-Wide Stress Testing, Credit Risk, Counterparty Risk, Capital Management, ALM and Liquidity Risk. Mr. Herrero has also been a visiting professor at the EADA Business Schoolin Barcelona. Mr. Herrero holds a specialised MBA degree with first class honours in International Economics and Management from SDA Bocconi in Milan. He is fluent in Spanish, Catalan, English, Italian, French and Portuguese.


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, Enterprise Scenario Planning and Execution, 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

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.



Tim Murnaghan, CEO, Analytic Risk Technology
Timothy Murnaghan was the senior manager at the Bank of England’s PRA, responsible for the stress testing systems and Firm Data Submission Framework (FDSF) that supported the 2014 and 2015 FPC stress testing exercises.  Tim founded Analytic Risk Technology Ltd in 2015 to bring his experience to bear on stress testing tools for the industry, with a particular focus on Capital Modelling.


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.



Nageswara Sastry Ganduri, Director, Risk & Analytics, CRISIL GR&A
Nageswara Ganduri is part of the leadership team of CRISIL GR&A’s Risk Analytics business and is based out of London, UK. Nageswara is an MBA (Finance) from the Indian School of Business, Hyderabad, and also holds a B-Tech + M-Tech degree in Mechanical Engineering from the Indian Institute of Technology, Mumbai. He has multiple professional certifications to his credit including Certificate in Quantitative Finance (CQF), Energy Risk Professional (ERP) and Financial Risk Manager (FRM). He has more than 12 years of experience in business consulting, quant modelling, and stress testing. He has led various assignments related to market risk, analytics, regulatory change/implementation and quant for different clientele including investment banks, insurance firms and regulators.
Currently he is heading key stress testing and market risk assignments for various banking clients. He is the key member of CRISIL internal working group on regulatory initiatives. He has also presented at conferences & webinars and co-authored white papers on stress testing and FRTB.


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.



Henry Umney, Head of Commercial Operations, ClusterSeven
Henry joined ClusterSeven in 2006 and is responsible for the commercial operations of ClusterSeven, overseeing globally all Sales and Client activity as well as Partner engagements. Henry brings over 20 years of experience in sales and account management in financial services.
Prior to ClusterSeven, he held the position of sales director in Microgen, London and various sales management positions in AFA Systems and DART, both in the UK and Asia.


Tom Van Zalen, Head of Capital Planning, ING Bank N.V
Tom joined ING in 2011 where he became responsible for managing the investment risks in ING’s Asian insurance entities. Before that he worked for a Dutch consulting firm specialized in financial risk management at financial institutions. In his current role Tom is heading ING’s Capital Planning team as part of the Capital Management function. The team is a.o. responsible for ING’s firm wide stress testing programme (incl. regulatory stress testing), ICAAP and for performing analyses on the interface of Risk, Capital Management and Finance to support capital allocation decisions.


Sunil Verma, Head of Market Risk Stress Testing Methodology, UBS
Sunil currently works at UBS as a Director in Stress Testing Methodology team. He has been primarily involved in quantitative risk measurement approaches such as Basel 2 & 3 modelling and stress testing. His key areas of involvement have been trading and wholesale books. He has been working on both credit risk and market risk methodologies.


Christopher Warhurst, Head of Pricing and Optimisation, 4most Europe Ltd

Chris is a credit risk consultant with over 9 years’ experience of credit risk modelling in Retail Banking primarily within the UK market, although he has exposure to other major financial centres. He has a deep knowledge of concepts of credit scoring, including the Basel II and III Capital Accords, retail risk stress testing models, IFRS 9 provisioning models, loss forecasting and risk vs return pricing/cut-off models. He has hands-on experience in developing and implementing credit risk scorecards and Basel II rating models, as well as managing large scale projects and teams. He has strong project management, delivering results within agreed timescales to the highest standards.



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

I have specialized in stress testing since 2003, firstly at Abbey National (Santander), then from 2006 to 2015 at UBS and most recently at HSBC. When I left both my Abbey and UBS roles I was their respective Group Head of Stress Testing and since summer 2015 I have been the Global Head of Wholesale Credit & Market Risk Stress Testing at HSBC. Before 2003 I spent time as a Market Risk Manager and a Money Broker.

I have a MBA from CASS / UCONN and both the FRM and PRM certificates. When I’m not at work you’re most likely to find me near a rugby pitch, either watching or coaching.

7th September 2016
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Incorporating an enterprise wide stress testing framework for a firm wide view across all risk types

6th September 2016
Dr Ev banner

Building effective stress testing framework and robust forecasting process

6th September 2016
Unknown-9

Have risk managers been let down by big IT?

31st August 2016
sanjay banner

Implementing an effective governance framework to manage end user computing (EUC) model risk

30th August 2016
Luca new banner

Building an effective stress testing framework and robust forecasting process

16th August 2016
Unknown-6

Benefits of embedding stress testing into ‘Business As Usual’ framework

3rd August 2016
Unknown-2

Enterprise wide stress testing framework for a firm wide view across all risk types

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
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

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Co-Sponsors:

4most


4most Europe Ltd is a specialist credit risk analytics consultancy with over 90 staff based in the UK with extensive experience of working within the banking and financial services sector. Our consultants have extensive experience developing and implementing scorecard models through the customer lifecycle in both secured and unsecured lending in the retail banking, credit card and debt management sectors. The company provides a range of products and services across credit risk, fraud and marketing, working with blue chip clients predominantly in the banking, retail and mobile sectors. 4most continues to grow and expand into new markets and new territories, further product investment, and a broader service offering.

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


Models and spreadsheets used for financial reporting need to be error-free, properly documented, auditable and protected against cyber attacks or internal fraud.

CIMCON helps minimize the business risks inherent in end-user computing applications. From uncovering hidden errors in models and Excel spreadsheets, to detecting file corruption in file shares, Access or SharePoint repositories, and identifying cybersecurity risks, our software enables you to automatically identify the location and magnitude of these risks. It also provides tools to minimize them in a way consistent with your company’s risk management policy.

ClusterSeven


ClusterSeven is a leading provider of strategic End User Computing (EUC) Management software. Our market-leading suite of products provide a governance platform for a firm’s spreadsheets, user-built databases and modelling tools. The ClusterSeven suite provides transparency around EUC activity, enables the capture of an inventory of EUCs as well as facilitates a full audit trail of changes to the key spreadsheets and databases in the inventory.

The suite provides businesses and their control functions full confidence in the integrity of their firm’s spreadsheet data, while also offering substantial savings on the time and resources used to check data processes and accuracy.

Founded in 2003 with offices in London, New York and Boston; over a third of the world’s top 30 banks as well as multiple leading insurers, investment managers and energy firms are customers. In June 2015, private equity firm Azini Capital Partners LLP acquired 100% of ClusterSeven and has provided additional investment to promote high quality product development and wider customer engagement.

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 GR&A


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.

Moodys Analytics


Moody’s Analytics helps capital markets and risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services and research, including proprietary analyses from Moody’s Investors Service, Moody’s Analytics integrates and customizes its offerings to address specific business challenges.

MSCI


For more than 40 years, MSCI’s research-based indexes and analytics have helped the world’s leading investors build and manage better portfolios. Clients rely on our offerings for deeper insights into the drivers of performance and risk in their portfolios, broad asset class coverage and innovative research.
Our line of products and services includes indexes, analytical models, data, real estate benchmarks and ESG research. MSCI serves 97 of the top 100 largest money managers, according to the most recent P&I ranking. For more information, visit us at www.msci.com.

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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Grange HotellVenue

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 Early Bird Rate
Standard Rate
Register now
Stress Testing Europe 2016 | 5-6 October £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

Credit card payments: 

Please ensure that you have informed your credit card issuer that you will be making this transaction

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

4most 245x150
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CIMCON Software
cluster seven 150
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Finsbury Solutions
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MSCI

Cefpro

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