7th Annual Stress Testing Europe 2019

8:00 Registration and breakfast

8:50 Chair’s opening remarks

 Petr Zemcik, Senior Director, Risk Modeling & Economic Research, Moody’s Analytics

 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
Christian Waltersdorf, Senior Manager, Deloitte

NON- FINANCIAL RISK         
9:50 Exploring modelling techniques for non-financial risk and stress testing

• • Uncertainty and risk
  • Modelling techniques, properties and pitfalls
  • Expert judgements and the Bayesian approach
  • Turning a scenario analysis into economic impact

Alexander Von Felbert, Head of Risk Controlling, Airbus Bank

10:30 Morning refreshment break and networking

ICAAP & ILAAP – PANEL DISCCUSION
11:00 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 examples
• Understanding the interlink between liquidity and capital

Marc Irubétagoyena, Head of Group Stress Testing and Financial Synthesis, BNP Paribas
Ying Hu, Director, Head of Risk Analytics, SMBC Europe Limited

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

13:20 Sector level stress testing approaches for Corporates credit portfolio

Nadège Grennepois, Partner, Risk Advisory, Deloitte

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

16:40 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

Clare Kelly, Head of Prudential Forecasting, Impairment and Stress Testing, Lloyds Banking Group

17:20 Chair’s closing remarks

17:30 End of Summit and networking drinks

8:15 Registration and breakfast

8:50 Chair’s opening remarks

Xavier Pujos, Managing Partner, Sionic Global

9:00 The European Banking Landscape: What’s Next?

• Evolving IFRS 9 Practices
• Complementary normative and economic perspectives under ICAAP
• Climate Change Trends
• Looking forward

Burcu Guner, Senior Director, Moody’s Analytics

REGULATION
9:40 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
  –        E.g. cyber attacks
• Difference between generic and board risk types
• 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

Nigel Milbank, Head of Stress Testing Delivering, RBS

10:20 Morning refreshment break and networking

STRATEGIC PLANNING
10:50 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

11:30 Integrating EBA stress test into balance sheet management practices

• EBA stress test prescribes series of constraints on key risk components.
• These constraints may distort the economic realities of Balance sheet management practice.
• To understand impact of these constraints on capital requirements, an integrated process is required to capture Balance sheet interaction across scenarios, and use it as a basis to understand, plan and communicate institute’s true capital position.

Matt Miller, Client Relationship Manager, QRM
Imran Mahmood, Client Relationship Manager, QRM

12:10 Lunch break and networking

EFFICIENCY – PANEL DISCUSSION
13:10 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, Risk Program Manager, 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.

BREXIT
14:00 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

14:40 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

15:20 Afternoon refreshment break and networking

REVERSE STRESS TESTING
15:50 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

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

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, Director in Quantitative Research Department, Daiwa Capital Market
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 is a director in JPMorgan’s wholesale credit analytics team. With extensive experience in cross-asset risk management, credit rating / structuring, portfolio management and modelling, his currently responsibilities include the stress testing of the wholesale loans and commitments portfolio, credit risk identification and scenario design, and the application of stress models to regional or legal entity portfolios. Prior to this role, Gregoire was a portfolio manager with JPMorgan’s credit portfolio group, covering the accrual and MtM (XVA) exposure of the CIB to a number of corporate and FI sectors; and a credit risk manager before that.

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

Antoine Bezat is responsible of Stress Testing Methodologies and Models for BNPP since 2017. This transversal role covers all risk classes (Credit, Market, interest rates, operational risks, revenues and liquidity). Antoine is also in charge of the forward looking aspects of IFRS9 provisioning. Antoine has been responsible of the independent validation for market activities of Dexia until 2009 where he joined BNPP. Within BNPP Antoine worked on credit economic capital model, provisioning and stress testing. He became head of Credit Stress Testing in 2014.

Assad Bouayoun, Director in Quantitative Research Department, Daiwa Capital Market

Assad Bouayoun is a Director in Quantitative Research Department at Daiwa Capital Market 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

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.

Nadège Grennepois, Partner, Risk Advisory, Deloitte France

Nadège is Partner and intrapreneur in the French Risk Advisory practice, in charge of Credit Risk Advisory services including: Rating methodologies, Stress testing, IFRS9 methodologies and models, Credit scoring, Pricing models, NPL strategies, Model Risk management, Advanced modelling, Climate risk scenario analysis.

She has 20 years experience in managing quantitative projects and teams within International Banks and Financial services.

She particularly led the design of the Model Risk Management services proposition for Deloitte at EMEA level as well as the Group credit risk stress testing framework for a top tier one Bank.

She is developing the innovative Zen Risk offer, aiming at disrupting the modelling market whilst using Machine Learning in an explicable manner as well as the ClimWISE offer, a climate risk scenario impact assessment solution dedicated to Banks.

Burcu Guner, Senior Director – Sales Manager, Moody’s Analytics

Burcu Guner is the EMEA Stress Testing Practice Leader at Moody’s Analytics. In the past 16+ years, Burcu has spent working with financial firms extensively in a variety of areas from Credit Risk, Credit Portfolio Management, Economic Capital, Stress Testing and more recently IFRS 9. Prior to her roles at Moody’s Analytics, Burcu had led key risk initiatives at a major global consulting firm and also worked in the field of investment banking, debt capital markets at a global top tier investment bank.

In her 13+ years at Moody’s Analytics she has worked on a number of advisory engagements, relating to credit risk and portfolio models, and stress testing as well as pricing and valuation tools. Her experience and expertise stretch to various consulting projects in the field of IRB models, capital planning and provisional analysis, to name a few.

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.

Clare Kelly, Head of Prudential Forecasting, Impairment and Stress Testing, Lloyds Banking Group

Clare has been leading the forecasting of RWA and Impairment across the Retail portfolios at Lloyds Banking Group since 2013. This has included the development of forecasting models, execution of the forecasts for budgeting and stress testing, and reporting of divisional results.

Clare has a background in Economics and Customer Risk modelling, covering all asset classes, and has worked across both model development, the use of models in making business decisions and operating within regulatory constraints.

Clare has a PhD in Economics from Keele University.

Imran Mahmood, Senior Consultant, QRM

Mr. Mahmood is a Senior Consultant at QRM’s EMEA client management team with over ten years of experience in banking sector. He currently assists EMEA clients in developing and implementing industry best practices in Balance Sheet Management, including interest rate risk management, funds transfer pricing, liquidity management, balance sheet optimization and stress testing. Prior to joining QRM’s London office, Mr. Mahmood worked in Balance Sheet Management and Capital Markets in the US Banking sector. Mr. Mahmood holds a Bachelor of Science in Finance and Accounting from Indiana University Bloomington, and an Executive MBA from Imperial College London.

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 Cambridge University graduate and Chartered Accountant. Nigel has had extensive banking experience in Internal audit, Operational risk and Enterprise Risk, having held roles at Arthur Andresen, Deloitte, Schroders, Credit Suisse including  Director of Operational risk at Santander. Since joining RBS in 2011, Nigel has held various roles including managing the Group ICAAP and delivery and control of Group stress tests.

Matt Miller, Senior Consultant, QRM

Matthew Miller is a Client Relationship Manager at QRM and has been working in risk management since 2009. In his current role, he manages EMEA client projects in interest rate risk, liquidity management, funds transfer pricing, financial modeling, and stress testing. Mr. Miller has worked for QRM in both the US and European offices, with a wide exposure to global client best practices. Mr. Miller has Bachelors degrees in Mathematics and Philosophy from Wabash College and a Masters of Science degree in Finance from The Illinois Institute of Technology.

Harry Petersen, Risk Program Manager, 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.

Xavier Pujos, Managing Partner, Sionic Global

Xavier started his career as an Interest Rates Derivatives trader with Paribas Paris and went on to become head of their FX trading team. After 8 years of trading, he took part in the creation of the Market Risk department where he was in charge of Fixed Income Market Risk teams as well as the London platform across all Capital Markets products. Upon the merger of BNP and Paribas, Xavier came back into Fixed Income Front Office as Deputy COO, and from 2009 had a CFO / CRO role, managing Funding, Capital, Balance Sheet, Transfer Pricing Agreements and a comprehensive Regulatory Implementation Program for Fixed Income worldwide

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

Étienne Varloot has 20 years of experience in market finance in Paris and London. After holding quant, strategist, and then trading positions at Citigroup and UBS, Étienne Varloot was Deputy Head of Market nd Counterparty Risks of the Banque de France between 2009 and 2011. He then joined Natixis as Global Head of the Market Risk. Étienne has been in charge of Global Markets Regulatory Strategy and Quant Research since 2015.

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 Controlling, Airbus Bank

Alexander joined the finance world after studying mathematics and computer science more than a decade ago. He has been working as a risk manager, quant and software developer in the banking and insurance industry gaining expertise in market, credit, counterparty, operational and liquidity risk.

At his current role at Airbus Bank, he is heading the risk controlling department. At Airbus Bank, Non-Financial Risks are considered to be a risk family driven by low-frequency and high-severity events generated by so-called fat-tailed distributions. Alexander has had the opportunity to model several non-financial risks throughout his career.

Beside his position at Airbus Bank, Alexander is doing research in math finance.
For his diploma thesis, he won a main prize of a German-wide competition, hosted by the German Mathematical Society, in 2010.

Christian Waltersdorf, Senior Manager, Deloitte

Christian Waltersdorf has been working for Deloitte for more than four years in Risk Advisory Financial Risk. Before joining, Deloitte Christian had worked five years at Commerzbank in the Market Risk department.

At Deloitte, Christian focuses on regulatory requirements related to risk management, primarily in the field of stress testing. In this context, Christian has participated in several ECB/EBA stress tests with various banks across all relevant risk areas. In this course, he advised his clients regarding the methodological requirements, development of new models and integration into internal stress test, data preparation and the communication with the regulator. Furthermore, he has supported his clients to improve their internal stress test framework by developing new models (e.g. dynamic income model) for alignment with EBA Guidelines on Stresstesting and ICAAP requirements. He is also a member of Deloitte’s EMEA Stress Test Working Group.

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.

Petr Zemcik, Senior Director, Risk Modeling & Economic Research, Moody’s Analytics

Petr Zemcik is senior director of economic research at the Moody’s Analytics London office. He is responsible for analysis, modeling, and forecasting for Europe. Dr. Zemcik also supervises the real-time coverage of Europe for the Dismal Scientist web site. He previously worked at CERGE-EI, a joint workplace of the Center for Economic Research and Graduate Education of Charles University in Prague and the Economics Institute of the Academy of Sciences of the Czech Republic, and at Southern Illinois University in Carbondale. He has published numerous articles on econometric methodology and on real estate bubbles in the United States and in Europe in peer-reviewed professional journals. He holds a PhD and M.A. in Economics from the University of Pittsburgh and M.Sc. in Econometrics and Operations Research from the University of Economics in Prague.

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