Stress Testing Europe 2018

Aligning stress testing and business needs and increasing efficiency across institutions

6th Annual Stress Testing Europe

13-14 November, 2018 | London

2018 Highlights Include

Regulation
Satisfying global regulators and managing multiple requirements across jurisdictions

Scenario forecasting
Developing strategic processes for effective scenario generation specific to institutions

Technology
Assessing how technology innovations can support and enhance stress testing practices

Data
Transforming data platforms internally to increase granularity and quality

Internal Alignment
Increasing value proposition of stress testing through internal alignment of teams

IFRS 9
Discussing IFRS9 projections to ensure preparation for application in stress testing

Relevance
Ensuring relevance of regulatory stress tests to increase value internally

Hear From 20+ Senior Stress Testing Experts Including:

Etienne-Varloot

Etienne Varloot
Global Head of Market and Counterparty Risk
Credit Agricole

David Kindred

David Kindred
Chief Risk Officer
Weatherbys Private Bank

0-1

Sunil Verma
Head of Market Risk Stress Testing Methodology
UBS

assad

Assad Bouayoun
Director, Senior XVA Quantitative Analytics
Scotiabank

Antoine-Bezat-Headshot-120x120

Antoine Bezat
Head of Stress Testing Methodologies and Models
BNP Paribas

Alessandro Ricci

Alessandro Ricci
EMEA Head of Risk Stress Testing and ICAAP
State Street Bank and Trust

william

William Cooper
Head of Risk
SEB

Jeff-Simmons-Headshot-120x120

Jeff Simmons
Managing Director, Head of Enterprise Risk Management
Bank of Tokyo Mitsubishi

male

Richard van Tilborgh
Head of Capital Analytics
ING Bank

0

Chaoxin Zheng
Head of CCR Stress Testing
Credit Suisse

Stress Testing Europe | Agenda

13th November | London

08:00 Registration and breakfast

08:50 Chair’s opening remarks

REGULATION – PANEL DISCUSSION
09:00 Satisfying global regulators and managing increasing divergence in requirements across jurisdictions

  • Managing requirements internally and across entities
  • Balancing cost pressures to comply across jurisdictions
  • Reconciling local and global regulatory and capital requirements
  • Managing requests and scenario analysis under each
  • Timing and execution alignment
  • Building coherence across multiple regimes

Evgueni Ivantsov, Chairman, European Risk Management Council
Alessandro Ricci, EMEA Head of Risk Stress Testing and ICAAP, State Street Bank and Trust

9:50 A staged approach to stress testing

  • Challenges faced in adopting a Best in Class Stress Testing Framework
  • Various stages a typical organization goes through in adopting such a Framework
  • Siloed approach
  • Top down approach
  • Bottom-up approach
  • Dynamic bottom-up approach
  • Enterprise-wide integrated approach
  • Leveraging stress testing for strategic decision making

QRM

10:30 Morning refreshment break and networking

11:00 Leveraging computational simulation for better stress testing

  • Building high fidelity simulation models
  • Simulation models as “glass box” models
  • Solving the technology challenges
  • Scenario analysis for better decision making
  • Combining simulation models with artificial intelligence

Justin Lyon, CEO, Simudyne

IFRS 9
11:40 IFRS 9: Organisational and computational challenges to incorporate in stress testing projections

  • Move towards long term trends and estimating losses
  • Accounting for loss up front
  • Integrating with stress testing processes
  • Organisational and computational challenges
  • Benchmarking IFRS 9 projection methodologies
  • Projecting for retail, wholesale and credit approaches

Antoine Bezat, Head of Stress Testing Methodologies and Models, BNP Paribas

12:20 Lunch break and networking

13:20 Accounting for macro-economic circumstances within scenario build for a comprehensive overview

  • Allowing management to assess responses and strategies
  • Credible and consistent scenarios
  • Aligning business with economic changes
  • Stock and flow vs. stock performance
  • Historical data shortfalls providing ongoing volatility
  • Impact on supplementary leverage ratio
  • Scenarios based on reality

William Cooper, Head of Risk, SEB

SCENARIOS
14:00 Ensuring relevance in scenario generation to incorporate a range of scenarios for broader outcomes

  • Ensuring relevance to the business
  • Looking at both extreme and tail events alongside more realistic outcomes
  • Scalability and relevance to understand and tailor to the business
  • Leveraging platform and relevance to understand customer needs
  • Managing finite resources

Andrew Turvey, Head of Treasury Risk & Compliance, Clydesdale Bank

14:40 Scenario analysis for recovery planning
Head, Business Model Stress Testing and Scenario Design, tbc

15:20 Afternoon refreshment break and networking

15:50 Adapting and utilising technology for behavioural analysis and increasing efficiency

  • Emergence of FinTechs
  • Impact of regulatory changes: Open Banking, PSD 2
  • Blockchain technology uses to enable faster connections and transactions
  • Modelling and predicting changes in customer behaviour
  • AI and machine learning tools for BAU scenarios
  • Faster scenario generation to account for a fast-changing environment

Russell Brooks, Stress Testing Strategic Initiatives, Credit Suisse tbc

16:30 The future of stress testing: How artificial intelligence and machine learning can be used for stress testing

  • Utilising artificial intelligence within scenario generation
  • Supporting stress testing processes
  • Increased automation
  • IT infrastructure requirements
  • Regulatory oversight of machines
  • Replacing human expert judgement with artificial intelligence

Chaoxin Zheng, Head of CCR Stress Testing, Credit Suisse

17:10 Case Study: How artificial intelligence and machine learning can be applied to assess data quality

Jothi Philip, Global Stress Testing – Data Lead, HSBC

17:35 Chair’s closing remarks

17:45 End of day one and drinks reception

14th November | London

08:15 Registration and breakfast

08:50 Chair’s opening remarks

PANEL DISCUSSION
09:00 The future of stress testing and financial markets: Reviewing requirements globally amongst economic uncertainty

  • Impact of inflation and interest rate rises
  • Political considerations with US administration
  • The potential impacts of Brexit on markets
  • Climate change effect
  • Managing volatility spike
  • Changing operating models to incorporate change
  • Impact of ring fenced banking

Cecilia Gejke, former Head of Stress Testing, Nordea
Jeff Simmons, Managing Director, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi
Antoine Bezat, Head of Stress Testing Methodologies and Models, BNP Paribas
Chris Chambers,
Director, Operational Risk Management, Bank of America Merrill Lynch

 

DATA
9:50 Transforming data platforms to overcome limitations in data availability and increasing granularity and quality

  • Incorporating with other requirements
  • Forward looking requirements
  • Industry best practice
  • Incorporation and impact on scenario planning
  • Contextualising scenarios with other regulations

Edgardo Ferrari Costa, Interim Credit Risk Director, Metro Bank

10:30 Morning refreshment break and networking

INTERNAL ALIGNMENT
11:00 Increasing efficiency in stress testing processes annually to increase value proposition

  • Informing effective business decision making and risk management
  • Linking to other processes, such as business planning processes and recovery & resolution planning
  • Providing actionable number to senior management and stakeholders
  • Reviewing beyond immediate impact
  • Analytic capability to forecast with degree of accuracy
  • Optimising business mix and capital

Richard van Tilborgh, Head of Capital Analytics, ING Bank

11:40 Aligning departments across the institution to utilise stress testing outcomes to drive decision making beyond regulatory compliance

  • Building a toolkit for regulatory stress tests to add value beyond regulation
  • Demonstrating value
  • Balancing compliance with internal benefits
  • Linking to finance processes: Annual operating plan, business planning processes
  • Ensuring return on investment
  • Building a more cohesive end to end process and driving value on investment

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

12:20 Lunch break and networking

MODEL RISK – PANEL DISCUSSION
13:20 Developing an efficient and streamlined risk management process to ensure accuracy of model inventory

  • Governance and adjustments: challenging at group level
  • Overriding non-performing models
  • Modelling human behaviours
  • Increased influx of models with introduction of IFRS 9
  • Independent model review
  • Level of expert judgement and adjustment

Etienne Varloot, Global Head of Market and Counterparty Risk, Credit Agricole
Dmitry Lobaskin,
Co-Head of Risk Model Validation, Executive Director, Nomura

14:10 Developing a consistent framework for risk and stress testing model validation

Dmitry Lobaskin, Co-Head of Risk Model Validation, Executive Director, Nomura

14:50 Reviewing previous PRA bi-annual exploratory exercise and data model changes to better understand and prepare for 2019

  • Data and format requirements
  • Understanding PRA’s reasoning
  • Modelling requirements
  • New core data model: Understanding the changes

David Kindred, Chief Risk Officer, Weatherbys Private Bank

15:30 Afternoon refreshment break and networking

16:00 An approach for best practice in model validation

  • Uncertainty and model validation
  • Model life-cycle and types of validations
  • Validation tools
  • A structured approach to model validation

Alexander von Felbert, Head of Risk Management/Authorised Officer, Airbus Bank

16:40 Reviewing industry best practice for reverse stress testing and adding a quantitative element to a qualitative process

  • Incorporating with other requirements
  • Forward looking requirements
  • Industry best practice
  • Incorporation and impact on scenario planning
  • Contextualising scenarios with other regulations

Assad Bouayoun, Director, Senior XVA Quantitative Analytics, Scotiabank

17:20 Chair’s closing remarks

17:30 End of Summit

Stress Testing Europe | Speakers

Antoine-Bezat-Headshot-120x120
Antoine Bezat, Head of Stress Testing Methodologies and Models, BNP Paribas

Antoine Bezat will be presenting at Stress Testing Europe 2018

assad
Assad Bouayoun, Director, Senior XVA Quantitative Analytics, Scotiabank

I am a senior XVA Quantitative Analyst at Scotiabank with more than 15 years’ experience in leading banks. I have 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.
I have an 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. 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. I am now participating to its productionisation.
I hold 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).

Russell Brooks
Russell Brooks, Stress Testing Strategic Initiatives, Credit Suisse

Russell Brooks will be presenting at Stress Testing Europe 2018

male
Chris Chambers, Director, Operational Risk Management, Bank of America Merrill Lynch

Chris Chambers will be presenting at Stress Testing Europe 2018

William Cooper
Wiliam Cooper, Head of Risk, SEB

In 2016 William became the Head of Risk for SEB Denmark with responsibility for protecting the banks financial results and reputation by preventing excessive risk taking and promoting a strong risk management culture. He has a key role in driving and contributing to risk related projects including the banks FRTB program. He has worked in the past for both buy and sell side firms, in roles ranging from trading at a large Hedge Fund to working as a quantitative analyst at a tier 1 investment bank. Always with a focus on improving financial modelling and analytics to maximize risk management and market awareness. William holds a BSc. In Mathematics and Economics from the LSE and a MSc. in Mathematics from the University of Copenhagen.

Edgardo Ferrari Costa
Edgardo Ferrari Costa, Interim Credit Risk Director, Metro Bank

Edgardo Ferrari Costa will be presenting at Stress Testing Europe 2018

Cecilia Gejka
Cecilia Gejke, former Head of Stress Testing, Nordea

Cecilia has a background in Material Physics before joining the world of finance and risk management. She has a broad experience from institutions like Bear Stearns, JP Morgan, Mizuho and Nordea where she has worked across the various risk disciplines and regulations with a focus on capital & liquidity and balance sheet management with stress testing as the favourite tool.

Evgueni pic
Evgueni Ivantsov, Chairman, European Risk Management Council

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.

David Kindred
David Kindred, Chief Risk Officer, Weatherbys Private Bank

David Kindred will be presenting at Stress Testing Europe 2018

male
Dmitry Lobaskin, Co-Head of Risk Model Validation, Executive Director, Nomura

Dmitry Lobaskin will be presenting at Stress Testing Europe 2018

Justin Lyon
Justin Lyon, CEO, Simudyne

Justin is a leading expert in simulation technology and artificial intelligence. Throughout his career as a serial entrepreneur, he worked on discreet assignments for a number of highly reputable national institutions and companies in the United States, the United Kingdom, Honduras, Kuwait, South Africa and Iraq. For more than 15 years, his work focused on helping them to understand the ways in which advanced analytics, simulation and artificial intelligence can help business, government and civic leaders to shape a better world for the next generation. He has worked as a contractor for the US Department of Defence, Bank of England, Microsoft, ExxonMobil, Apple, Humana, BP and several others. Justin has presented at Bloomberg, FT Innovate and TEDx, and has also appeared on CNBC and BBC as an expert commentator. His work has been featured in publications including Wired, The Guardian and Dow Jones.

Jothi Philip
Jothi Philip, Global Stress Testing – Data Lead, HSBC

Jothi Philip will be presenting at Stress Testing Europe 2018

Alessandro Ricci
Alessandro Ricci, EMEA Head of Risk Stress Testing and ICAAP, State Street Bank and Trust

Alessandro Ricci will be presenting at Stress Testing Europe 2018

Jeff-Simmons-Headshot-120x120
Jeff Simmons, Managing Director, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi UFJ

Jeff Simmons will be presenting at Stress Testing Europe 2018

Andrew Turvey
Andrew Turvey, Head of Treasury Risk & Compliance, Clydesdale Bank

Andrew Turvey is the Head of Treasury Risk & Compliance at Clydesdale, responsible for the management of liquidity, interest rate and compliance risk at this £40bn UK-focussed challenger bank.

A Chartered Accountant and AMCT, he has worked for a range of banks and building societies from mid-tier domestic banks to GSIBs. He has led the implementation of key regulatory changes, from BIPRU 12 to CRD IV and MIFID II, as well as implementing new risk systems. He has had responsibility for ILAAPs at three different firms and led supervisory reviews of ILAAPs and ICAAPs while working for the FCA.

male
Richard van Tilborgh, Head of Capital Analytics, ING Bank

Richard van Tilborgh will be presenting at Stress Testing Europe 2018

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

Etienne Varloot will be presenting at Stress Testing Europe 2018

0-1
Sunil Verma, Head of Market Risk Stress Testing Methodology, UBS

Sunil Verma will be presenting at Stress Testing Europe 2018

0-2
Alexander von Felbert, Head of Risk Management, Airbus Bank

Alexander von Felbert will be presenting at Stress Testing Europe 2018

0
Chaoxin Zheng, Head of CCR Stress Testing, Credit Suisse

Chaoxin Zheng will be presenting at Stress Testing Europe 2018

Stress Testing Europe | Insights

FEATURED RESOURCE

Marc Irubetagoyena presentation banner

Aligning risk disciplines for a more integrated stress testing approach delivering a firm-wide view of risk

By Marc Irubetagoyena, Head of Stress Testing & Financial Synthesis, BNP Paribas

ARTICLES

19th July 2018

Increasing efficiency in stress testing processes annually to increase value proposition

By Richard van Tilborgh, Head of Capital Analytics, ING Group.
18th July 2018

The future of stress testing and financial markets: Reviewing requirements globally amongst economic uncertainty

By Jeff Simmons, Managing Director, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi.
5th July 2018

Reviewing Industry best practice for reverse stress testing

By Assad Bouayoun, Senior XVA Quantitative Consultant at HSBC.
2nd July 2018

Aligning stress testing with BAU practices for a more integrated view of risk

Presentation, by Jeff Simmons, Chief Risk Officer, MUFG Securities (Europe).
13th June 2018
Guglielmo Migliori article banner

CeFPro research: Increased pressures ahead for stress testing and model risk professionals across Europe

By Guglielmo Migliori, Senior Research Executive, CeFPro. 
11th June 2018
Marc Irubetagoyena presentation banner

Aligning risk disciplines for a more integrated stress testing approach delivering a firm-wide view of risk

By Marc Irubetagoyena, Head of Stress Testing & Financial Synthesis, BNP Paribas
21st February 2018

Aligning stress testing with BAU practices

By Jeff Simmons, Head of Enterprise Risk Management, Bank of Tokyo-Mitsubishi UFJ.
21st August 2017

The use of stress testing for setting risk appetite to inform strategic decision making

21st August 2017

Stress testing and scenario analysis

18th August 2017

Reverse Stress Testing

By Andrea Burgtorf, Head of Group Risk Operating Office, Erste Group.
26th July 2017

The future of Stress testing in Europe: The move towards an automated approach, increased data quality and use of AI

14th June 2017

Stress testing, setting risk appetite and strategic decision making

13th June 2017

Stress testing for the Brexit era

22nd May 2017

Aligning risk disciplines for a more integrated stress testing approach

25th April 2017

Stress Testing: Synergies with IFRS 9, informing business decision-making and managing multiple regulatory requirements

Stress Testing Europe | Sponsors

Can your organisation contribute at our Stress Testing Europe 2018 Summit?

Contact us today to discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities. Please visit www.cefpro.com/sponsorship for an outline of what we can offer, and contact sales@cefpro.com or call us on +44 (0) 207 164 6582 where a member of the team will be happy to tailor the right package for you.

2018 Co-Sponsors

Quantitative Risk Management (QRM)


Quantitative Risk Management (QRM) is the world’s premier enterprise risk management consulting firm. QRM develops industry-leading risk management principles, practices, and models, and provides clients with the advice, knowledge, and tools necessary to leverage those innovations into higher risk-adjusted returns. Since 1987, we have partnered with our clients to enhance their ability to measure risk, identify profitable opportunities, and make sound financial decisions. With offices in Chicago, London, and Singapore, QRM has established over 250 long-term engagements with top financial institutions from the banking, finance, and insurance industries worldwide.

Simudyne


Simudyne believes that all decisions of consequence should be subject to computer simulation. Our toolkit powers computer simulations at massive scale that provide greater foresight into the future and enable radically better decisions.

Simudyne has built tomorrow’s simulation toolkit: their technology allows businesses to understand the past by creating realistic models of the world from the bottom up. They can then explore their environment by testing all possible decisions in a safe virtual environment. Finally, they decide their future by leveraging the wisdom of computational simulation. Simudyne is already in use by global banks looking to address challenges relating to stress testing, contagion risk and liquidity management.

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 amy.greene@cefpro.com or call +44 (0)20 7164 6582.

Stress Testing Europe | Venue

VENUE

Etc Venues
Monument 8, Eastcheap
LondonEC3M 1AE UK

Nearby Accommodation

The Liquidity Risk Management Europe 2018 Forum will take place in a great location on Eastcheap near Monument Station. If you require accommodation, the following hotels are close by:

Hub by Premier Inn London Tower Bridge
Approx (0.2 mi) from etc venues. 

Apex City of London Hotel
1 Seething Ln, London EC3N 4AX
Approx: 0.3 (mi) from etc venues. 

Click here to view more near hotels

Stress Testing Europe | FAQs

If you cannot find the answer to your question below, please email amy.greene@cefpro.com

Can I present at Stress Testing Europe?

Yes, the Center for Financial Professionals are happy to discuss speaking opportunities at Stress Testing Europe. For further information on this please contact guli@cefpro.com

What is 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 main Summit, as outlined on our pricing tab. Registration includes breakfast, refreshment breaks, lunches, the drinks 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* All available documentation will be provided after the Summit has taken place. However, we will work with our presenters to make these available before the Summit where possible. *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 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
  • Q&A, panel discussions and audience participation technology at the event and during the sessions
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) 207 164 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 any opportunities to share my thought-leadership at Stress Testing Europe?

Yes there are plenty of opportunities for the Center for Financial Professionals to share thought-leadership to the attendees of Stress Testing Europe and our wider risk professionals community. At the event we can distribute your material to the attendees or even offer you an exhibition booth so that you may enjoy a more prominent presence at the Summit. Visit the Sponsor tab for further information or contact sales@cefpro.com / +44 (0) 207 164 6582.

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 there media partnership opportunities available for Stress Testing Europe?

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 amy.greene@cefpro.com or call +44 (0) 207 164 6582.

Stress Testing Europe | Register

Register online

Summer Special
Register by 24 August
Super Early Bird
Register by 14 September
Early Bird
Register by 26 October
Standard Rate
Registrations after 26 October
Stress Testing Europe
13-14 November
£899
(Save £600)
£999
(Save £500)
£1,199
(Save £300)
£1,499

All prices subject to UK VAT, currently 20%

Other ways to register

1. Save Time – Register by Email

We only need your:
– Full name
– Job title
– Company & address
– Contact number

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

Group Bookings:

Group rates are available for 3 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.

Keep Updated

Email-icon


Interested in Stress Testing Europe but not ready to register? Click here to keep updated.

2018 Co-Sponsors

Simudyne 2

Can your organisation contribute at our Stress Testing Europe 2018 Summit?

Contact us today to discuss how we can deliver your thought-leadership at the event, help you generate leads, and provide you with unique networking and branding opportunities. Please visit www.cefpro.com/sponsorship for an outline of what we can offer, and contact sales@cefpro.com or call us on +44 (0) 207 164 6582 where a member of the team will be happy to tailor the right package for you.

Connect With Us | #StressTestingEurope

TwitterLinkedInFacebookYouTubephone icon 50px