7th Annual Stress Testing Europe 2019

8:00 Registration and breakfast

8:50 Chair’s opening remarks

 REGULATORY REQUIREMENTS – PANEL DISCUSSION
9:00 Managing global stress testing requirements and jurisdictional variations

• Non alignment across global regulators
• Inefficiencies for banks and supervisors
• A way forward for greater efficiency and value addition
• Meeting data and IT requirements
• Going beyond regulatory requirements to effectively contribute to steering
• Managing at a legal entity level in consistency with Group level

Marc Irubétagoyena, Head of Group Stress Testing and Financial Synthesis, BNP Paribas
Gregoire Babin, Executive Director, Wholesale Credit Analytics and Solutions, JP Morgan Chase & Co.
Volker Weis, Head of Group Stress Testing ERM, Deutsche Bank AG

NON- FINANCIAL RISK         
9:50 Modelling techniques for non-financial risk and determining economic impact within a stress test

• • Impact on capital requirements and allocation
  • Managing cyber risks: Low probability high risk events
  • Embedding resilience in a stress testing framework
  • Tools to accommodate variabilities and potential changes
  • Turning scenarios into economic impact

Alexander Von Felbert, Head of Risk Management, Airbus Bank

10:30 Morning refreshment break and networking

CLIMATE CHANGE
11:00 Stress testing climate change: Incorporating environmental, social and governance risks to stress tests

• • Addressing across teams and risk types
  • Implementing in a stress test approach
  • Aligning with risk policies
  • Communicating to investors and the board
  • Assessing physical risk
  • Assessing credit impact of carbon transition companies
  • Top down and bottom up approaches to identify key risks

David Aikman, Technical Head of Division, Bank of England

11:40 ESG standards – from consciousness to regulation to stress testing impacts

• Increased investor awareness and attention of ESG including climate change and pollution impacts
• Regulatory attention with Bank of England announcements and European Commission text proposals (MiFID changes)
• Integrating ESG in investment proposals and offering in decision process
  • Impact on the way the sell-side handles ESG requirements
• Incorporating an ESG framework into capital and stress testing processes

Xavier Pujos, Managing Partner, Sionic Global

12:20 Lunch break and networking

BREXIT
13:20 Using stress testing as a tool to prepare for Brexit and review potential economic impacts across markets

• • Geopolitical scenarios
  • Brexit: Impact on UK market
    • Impact on key sectors
    • Access to market
  • Preparing for shocks to the UK market
    • Contagion across other markets
  • Investor movement and liquidity
  • How does a potential UK election impact Brexit outcomes

Imran Syed, Market Risk Stress Testing, UK Entities, Credit Suisse

MODEL RISK – PANEL DISCUSSION
14:00 Managing global model risk requirements and demonstrating effective controls

• SS318 compliance
• Underlying calculations
• Model requirements: SS318, TRIM, SR 7-11 etc.
• Defining models internally
• Building a full model inventory for full oversight
• Incorporating model risk into risk appetite

Etienne Varloot, Global Head of Market and Counterparty Risk, Crédit Agricole
Giorgio Bocchi, Managing Director, GBAM Model Risk Officer, Bank of America Merrill Lynch

14:50 Demonstrating governance processes of model risk for effective challenge at Board level

• Understanding models at board level to satisfy risk requirements
• Articulating limitations of models to the board
• Challenging aggregate results of models
• Demonstrating a robust review and challenge governance process
• Keeping governance in the first line
• Managing tension under senior managers regime
• Where does ICAAP and ILAAP sit within an institution?

Ying Hu, Director, Head of Risk Analytics, SMBC Europe Limited

15:30 Afternoon refreshment break and networking 

DATA
16:00 Data integration into a group wide framework for stress testing and leverage of its value

• Expectations in terms of data for stress testing
• Output quality dependency on input data quality in a BCBS 239 context
• Merging inputs across systems: creating a common data source
• Data technologies available
• Approaches to standardise and normalise data across businesses
• Classifying data according to importance to prioritize
• Reaching final decision and output from testing
• Leverage the framework for other uses

Marc Irubétagoyena, Head of Group Stress Testing and Financial Synthesis, BNP Paribas

IFRS 9
16:40 Reviewing changes and future capabilities under stress testing with incorporation of IFRS 9

• • Incorporating counter cyclicity in processes
  • Changes to rating models
  • Aligning the stress testing and IFRS 9 with one scenario
  • Limiting duplication of efforts with forward projections
  • Do the standards contradict each other?
  • P&L projections in IFRS 9 avoiding big swings
  • Stress testing reactive models
  • Modelling approaches across institutions
  • Transition across different stages/buckets
  • Addressing how to standardizing input data

Dilip Singh, Director, Stress Testing, Barclays

17:20 Leveraging outcome of alignment of IFRS 9 and stress testing to better understand impact on provisioning and capital allocation

• • Impact of macroeconomic assumptions
  • Addressing sensitivity in model but not accounting
  • Using methodology on a day to day basis
  • Uses of IFRS 9 and US CECL for monitoring and making business decisions
  • Bringing losses into day one with foresight of the full extent of the scenario
  • Realistic nature of numbers with perfect foresight
  • Reflecting in balance sheet and deriving steering actions

Richard Bowles, Head of Prudential Implementation, Lloyds Banking Group

18:00 Chair’s closing remarks

18:10 End of Summit

8:15 Registration and breakfast

8:50 Chair’s opening remarks

Xavier Pujos, Managing Partner, Sionic Global

REGULATION
9:00 Building a framework to combine internal and regulatory stress tests to gain a full view of risk

• • Incorporating different types of risk
  • Building a consistent scenario that addresses specific risks
  • g. cyber and operational resilience
  • Deriving value from stress tests
  • Writing a storyline that fits the business model
  • Deriving results from a macroeconomic story
  • Translating external indicators to internal stress indicators
  • Reacting to and managing stress
  • Convincing front office to commit time
  • Seeing as an enterprise project not risk or finance

Nigel Milbank, Head of Stress Testing Delivering, RBS

STRATEGIC PLANNING
9:40 Using stress testing as a value adding tool to drive decision making and strategic planning

• Changes to risk factors based on increased technology use
• Changes of behaviours in markets
• Investment in tools, processes and people
• Strategic relevance of stress testing
• Aligning results with strategy and direction of business
• Identifying weaknesses and vulnerabilities and what action to take

Edmund Bosworth, Head of Capability and Controls, RBS

10:20 Morning refreshment break and networking

EFFICIENCY – PANEL DISCUSSION
10:50 Improving capabilities internally to deliver stress tests in a more comprehensive way and increase the efficiency of stress testing

• • Can stress testing be embedded into a consistent framework
  • Creating a model platform to automate and optimise processes
  • Automation of creation and execution of stress test models
  • How to handle complex products in stress testing
  • Collaboration across the bank
  • Developing databases
  • Understanding results and application to real world examples
  • Understanding market behaviours
  • Working with business lines to understand characteristics of portfolios

Sunil Verma, Head of Market Risk Stress Testing Methodology, UBS
Harry Petersen, CRO, Rabobank
Akash Shah, Head of Market and Liquidity Risk, Shawbrook Bank
Gianluca Cantalupi, Head of Enterprise Risk – International Wealth Management, Credit Suisse
Pradyumna Javalekar, Executive Director, Head of CVA Stress Testing, JP Morgan Chase & Co.

SCENARIOS
11:40 Stress testing in a continuum of severity levels: Bringing it all together under one framework

• Business as usual to extremely severe
• Resolution of a firm
• Risk appetite framework covering all levels of stress
• Ensuring consistent application
• Designing scenarios based on market conditions
• Creating the appropriate number of scenarios
• Relying on past stress sources to determine severity
• Identifying factors not included in stress test today

12:20 Lunch break and networking

13:20 Stress-testing banking systems: a comparative assessment – with a focus on scenario design  

• Variations of stress test designs across institutions
  • Tailoring based on micro or macro prudential objectives
• Characterising exercises based on governance, operational implementation and outcomes
  • Review of stress tests conducted for the Euro area, Japan, Switzerland, and the US and features associated with specific objectives
• Designing underlying scenarios: Issues and decisions to be taken
• Issues to be addressed comprise:
  • Risk drivers and narrative
  • Models used to generate macro or financial variables
  • Gauging severity
  • Number and type of scenarios to use – as well as generating scenarios for reverse stress tests or policy calibration

Jérôme Henry, Principal Adviser – DG Macroprudential Policy and Financial Stability, European Central Bank

ICAAP & ILAAP
14:00 Increasing interaction and integration of liquidity and capital stress tests for a unified view of impacts

• Time horizons for each
• Artificial separation of both
• Including capital and liquidity reference points in each
• Impact of each on the other
• Gaining an integrated view of risk
• Calibration based on expert judgement and real-life example
• Understanding the interlink between liquidity and capital

Dr Martin Marchesi, Head of Stress Testing & Credit Projection, Intesa Sanpaolo

REVERSE STRESS TESTING
14:40 Implementing and leveraging reverse stress testing as a tool to understand losses and measure regulatory and business performance

• Link with ICAAP and ILAAP
• Relation to resolution planning and scenario design
  • Using to calibrate and define resolution plan
• How to implement and use reverse stress testing
• EBA guidance on conducting reverse stress test
• Understanding objectives and uses
• Living Wills to determine contingency plans
• Ring fencing retail business to strengthen capital in a recession

15:20 Afternoon refreshment break and networking

AI AND MACHINE LEARNING
15:50 Optimising conventional techniques and leveraging opportunity of emerging technology in a stress testing framework

• Using for stress testing and reverse stress testing
• Limitations in explain ability of AI and machine learning
• Ability to back engineer to explain narrative generated
• Using as a tool to capture new and emerging risks
• Aligning with IT and data departments
• Changing collaborations across the institution
• Calculation and reporting
• Volume of calculations required

TECHNOLOGY – PANEL DISCUSSION
16:30 Integration of AI and machine learning to apply a broader spectrum of appropriate shocks to individual portfolios

• Applying shocks relevant to market risk sectors
• Using machine learning to come up with appropriate shocks
• Human involvement to assess how realistic a scenario is
• Performing individual analysis on portfolios
• Offering diversity in scenarios available
• Looking beyond normal risk factors
• Running pattern analysis on a broad range of scenarios

Assad Bouayoun, Senior XVA Quantitative Expert, HSBC
Cecilia Gejke, Chief Risk Officer, East-West United Bank

17:20 Chair’s closing remarks

17:30 End of Summit

David Aikman, Technical Head of Division, Bank of England

David is Technical Head of Division in the Macroprudential Strategy and Support Division within the Bank’s Financial Stability and Strategy Directorate.  His team is responsible for developing the Bank’s macroprudential framework, including its strategy for applying macroprudential tools.

David recently spent two years on secondment at the Board of Governors of the Federal Reserve System in Washington DC.  He has also been a visiting scholar at the Bank of Japan’s Institute for Monetary and Economic Studies.

Gregoire Babin, Executive Director, Wholesale Credit Analytics and Solutions, JP Morgan Chase & Co

Gregoire Babin will be presenting at Stress Testing Summit.

Assad Bouayoun, Senior XVA Quantitative Expert, HSBC

Assad Bouayoun is a senior XVA Quantitative Analyst at HSBC Global Banking and Markets with more than 15 years’ experience in leading banks. He has designed industry standard hedging and pricing systems, first as a single asset quant (equity derivative at Commerzbank, credit derivatives at Credit Agricole) then as XVA quant in, in XVA at Lloyds in Model Validation at RBS in Model Development.

Assad has extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. He developed a prototype of XVA platform integrating advanced technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA, sensitivities, real time PNL attribution and reverse stress testing. He is now participating to its productionisation.

Mr. Bouayoun holds an MSc in Mathematical Trading and Finance from Cass Business School, and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France)

Edmund Bosworth, Head of Capability and Controls, RBS

Previously the Head of Risk Reward at Westpac Banking Corporation in Australia and the Head of Risk Analytics at AIB, Ed leads RBS’ stress testing change program.

Ed has been at the cutting edge of bank risk management practices for more than 20 years experience. He is the co-author of an early public study on loss given default and oversaw Westpac’s enterprise-wide stress testing program.

Ed holds a postgraduate degree in statistics and is a member of the Institute of Directors in Ireland.

Giorgio Bocchi, Managing Director, GBAM Model Risk Officer, Bank of America Merrill Lynch

Richard Bowles, Head of Prudential Implementation, Lloyds Banking Group

Richard has been leading the implementation of IFRS9 for Retail, Consumer Finance and Asset Finance at Lloyds Banking Group since January 2015.

Prior to his current role, he was Head of Capital & Impairment for the UK and Ireland Mortgage portfolios at LBG – he was responsible for all the capital and impairment actuals and forecasting for c£330bn of Mortgage assets.

Richard has a background in Risk modelling, covering all asset classes, having worked as both a modeller and in the independent model review team at LBG.

Richard has an MSc in Economics & Econometrics from Nottingham University.

Gianluca Cantalupi, Head of Enterprise Risk – International Wealth Management, Credit Suisse

Gianluca is Head of Enterprise Risk for the International Wealth Management division at Credit Suisse. His function acts as a guardian of divisional risk appetite, sharing responsibility with management for unexpected or “out of strategy” losses incurred in the business. Within Credit Suisse, he previously headed the Credit Portfolio Management team for UK Investment Banking entities.

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

Gianluca started his career as a strategist/trader for FCT Group in 2006, just in time to experience some of the 2008 volatility where he learnt first-hand the importance of holistic risk management.

Cecilia Gejke, Chief Risk Officer, East-West United Bank

Cecilia has a background in Material Physics and development of renewable energy sources before joining the world of Finance. Cecilia has spent many years at institutions like Bear Stearns, JP Morgan, Santander and Mizuho prior to joining Nordea to set up the holistic stress testing team, looking across Market risk, IRRBB, Counterparty credit, Liquidity and Capital. She has a broad risk management experience across the various disciplines including Credit, Market and Liquidity with particular focus around stress testing and capital & liquidity scenario analysis.

Jérôme Henry, Principal Adviser – DG Macroprudential Policy and Financial Stability, European Central Bank

Jérôme Henry is Principal Adviser in the ECB Macroprudential policies and financial stability area. His responsibilities cover IT and data infrastructure as well as financial stability assessments, in particular via stress-testing. He led ECB teams for the Quality Assurance of SSM stress tests and was involved in country crisis management. He also was a BIS FSI fellow.

Mr Henry was beforehand a long-standing Euro system forecast coordinator. He started at the ECB leading the macro modelling team. He arrived in Frankfurt more than 20 years ago, to prepare Monetary Union, after being a macroeconomist with Banque de France. Prior to his central bank career, he did research at the OFCE and the INSEE.

Mr Henry has numerous academic publications in e.g. the Review of Economics and Statistics and with Cambridge University Press, also contributed to books on stress-testing e.g. the ECB STAMP€. He is a founding member of the CEPR Euro-Area Business Cycle Network. An ENSAE graduate, Mr Henry holds a PhD in Economics and a BA in History from Paris Sorbonne.

Ying Hu, Director, Head of Risk Analytics, SMBC Europe Limited

Dr Ying Hu is the Head of Risk Analytics at Sumitomo Mitsui Banking Corporation Europe Limited (SMBCE). She is responsible for SMBCE’s Credit and Op risk modelling, ICAAP stress testing, RAROC and RWA calculations. Her latest project was to establish a Model Risk Management Framework for the bank. Prior to joining SMBCE she worked at Deutsche Bank in the Risk Analytics and Instruments Group, where she was responsible for managing and developing Deutsche’s RAROC pricing tool. Ying holds a PHD degree in Electronic Engineering from the University of Warwick.

Marc Irubétagoyena, Head of Group Stress Testing and Financial Synthesis, BNP Paribas

Marc Irubetagoyéna is a member of the Group RISK Executive Committees of BNP Paribas. In his current role, he is responsible for the global stress testing and financial synthesis platform of BNP Paribas. After his studies of Engineering, Finance and Statistics, Marc started his career in consulting at Arthur Andersen in 1999. He joined BNP Paribas in 2002 within Group the Performance Management team. He drove the implementation of a value creation steering program and contributed to BNL Spa integration. In 2006, he moved to the Global Equity and Commodity business, launching notably a Private Equity offer. In 2009, he came back to Group Finance to ensure the financial synthesis of the Retail Banking division. In 2011, he launched a joint team between Group Finance and Group ALM Treasury to steer the liquidity of the Bank and implement a regulatory liquidity reporting framework. In 2015, he took the role of CFO of the Global Market business line. Marc holds Engineer diplomas from Ecole Poly technique and ENSAE.

Pradyumna Javalekar, Executive Director, Head of CVA Stress Testing, JP Morgan Chase & Co.

Pradyumna is currently the Head of XVA stress testing at JP Morgan. He has an extensive experience in counterparty risk and stress testing, having worked both in front office and risk management roles for more than a decade at Deutsche Bank (previously) and JP Morgan. He is responsible for XVA stress testing across a range of regulatory exercises, including CCAR (in the US) and various European exercises. His responsibilities and experience encompass various aspects of stress testing, particularly model/methodology, technology and execution.

Dr Martin Marchesi, Head of Stress Testing & Credit Projection, Intesa Sanpaolo

Martin is head of Stress Testing and Credit Projections at Intesa Sanpaolo. His team, among other things, coordinates stress test activities within the Group, develops projections – both in business as usual and in stress conditions – for credit risk and is involved in the design of stress scenarios. Before returning to Intesa Sanpaolo Group, where he covered various positions in the planning and control area, Martin has spent ten years in Banca Popolare di Vicenza Group, where he gained the position of deputy Chief Risk Officer. Martin attained a PhD and a Master, both in Economics, at the University of Manchester.

Nigel Milbank, Head of Stress Testing Delivering, RBS

Nigel is a Chartered Accountant and Cambridge graduate. Nigel has held previous senior roles in Internal Audit, Operational and Enterprise Risk at Swiss, Spanish and UK banks. In the last 6 years Nigel has been at RBS responsible for ICAAPs, and has held various roles in Enterprise Risk including Stress testing Control and Delivery. Currently focused on Stress Testing target state, Change management and controlling end to end stress testing

Harry Petersen, CRO, Rabobank

Harry is a versatile professional with over 25 years’ experience in (digital) strategy, technology and process innovation in the financial industry. He has a strong experience in financial markets, wholesale banking, asset management and Risk Management.

In his current role, he is leading Rabobank’s model platform program. An initiative aimed at introducing an end-to-end modelling platform that standardizes work and increases efficiency across the full model lifecycle of models in use at Rabobank Group.

Prior to this role Harry held various positions, most recently as Business Manager for the CRO Rabobank Group and before that as Head of the Recovery & Resolution planning team. Harry joined Rabobank in 2011.

Dilip Singh, Director, Stress Testing, Barclays

Dilip is a part of the broader risk management function at Barclays and drives regulatory compliance of firm wide stress testing frameworks – both internal and regulatory, planning and IFRS9 from Model Risk standpoint (SS3/18, SR11-7, SS31/15, etc.). He defines the overall standards for stress testing frameworks to ensure effective integration into the business and consistency of modelling standards globally.

Dilip is a graduate from London Business School and is equally passionate about Indian classical music and cooking

Akash Shah, Head of Market and Liquidity Risk, Shawbrook Bank

Akash Shah will be presenting at Stress Testing Summit.

Imran Syed, Market Risk Stress Testing, UK Entities, Credit Suisse

Imran Syed is a Market Risk Stress Testing Manager with Credit Suisse. He is involved in the design and calibration of scenarios, development of scenario frameworks and key regulatory submissions. He is currently responsible for the Brexit related stress tests. He was previously with BAML, heading the Risk Analytics, Derivatives and Capital Markets teams at the India Centre of Excellence. He completed his masters from the Indian Institute of Management, Lucknow. In another life he owned and managed a snooker club.

Etienne Varloot, Global Head of Market and Counterparty Risk, Credit Agricole

Dr Evgueni Ivantsov is Chairman of the European Risk Management Council and the 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 and an external advisor to European Investment Bank.

Evgueni has a more than 20-year career in the banking sector working in global and large banks. His most recent role in banking was Head of Portfolio Management & Strategy at Lloyds Banking Group. Prior to this role, he worked at HSBC as a Head of Global Analytics and a Head of Portfolio Risk. Evgueni also worked in senior risk management roles at ING Group and Banque Bruxelles Lambert. In his risk management career, he was responsible for areas like stress testing, risk appetite, capital management, portfolio risk optimisation and risk modelling and analytics.

Dr Ivantsov is also a visiting Professor of Cass Business School (City University, London) and before was a visiting Professor of International Economics at the Boston University and a visiting Professor of Money, Banking and Credit at the United Business Institutes in Brussels.

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

Sunil is currently working at UBS within Market Risk methodology function. He leads the global function on development of stress testing models. He has worked on methodologies for internal risk management and regulatory requirements such as CCAR, EBA, FDSF, MAS, etc. Previous to this role he had worked in multiple roles on the methodologies for Credit risk, Counterparty risk and economic capital.

Alexander Von Felbert, Head of Risk Management, Airbus Bank

I have been working as a risk manager in several financial institutions more than a decade, gathering expertise in market, credit, counterparty, operational and liquidity risk.

In my current role as Head of Risk Management at Airbus Bank I serve in all risk-related topics as an advisor to the management body, including the measurement, controlling, steering and mitigation of all risk types. In one of my previous roles, I worked as a validation analyst reviewing a wide range of models across all major risk types.

By education, I am a mathematician and a computer scientist. For my diploma thesis, I won a main prize of a German-wide competition, hosted by the German Mathematical Society, in 2010.

Volker Weis, Head of Group Stress Testing ERM, Deutsche Bank AG

Volker Weis is Head of Group Stress Testing within the Enterprise Risk Management department of Deutsche Bank Group (DB) and responsible for the cross-risk stress tests. In his prior positions he was overseeing the derivatives exposure modelling team for the implementation of DB’s counterparty credit risk IMM model, Economic Capital model development as well as Group and Legal Entity ICAAP. Volker joined Deutsche Bank in 2001. Prior to Deutsche Bank, Volker worked at the Massachusetts Institute of Technology. He holds a PhD in Physics.

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Venue

Etc Venues – Monument
8 Eastcheap
London
EC3M 1AE
UK

Situated within the heart of the City of London, the financial district, with convenient transport links to all London and City airports, etc venues is situated just two minutes walk from Monument underground station.

Nearby Hotel Options:

DoubleTree by Hilton – Tower of London

Leonardo Royal Hotel London City

Apex City of London

Premier Inn London City (Tower Hill)

Travelodge London Central Tower Bridge

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