Stress Testing Europe 2018

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

9:50 Breaking the Bank: A Case Study in Reverse Stress Testing

JL Drew, Senior Consultant, QRM

10:30 Morning refreshment break and networking

11:00 Leveraging computational simulation for better stress testing

• Building high fidelity simulation models
• 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 Continuously improving your stress testing process; topical areas to focus on

• Stress Testing Framework; ensuring fit for purpose
• Impact of ICB Ring fencing on the Stress Testing function
• Model Risk challenges including SS3/18 compliance
• Automation and efficiency of the end to end Stress Testing process

Nigel Milbank, Head of Stress Testing Control Management, RBS

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 Model validation is a necessary but not sufficient condition for effective model risk management

• Structure and importance of model risk governance compared to the quant side
• Performance Monitoring of models
  • Back testing, stress testing, challenger models
• Big Data, Machine Learning, Spreadsheets (EUCs)

Dennis Bennett, CEO & Founder, MRMIA, Former Head of Model Risk Management, Federal Home Loan Bank of New York

16:30 Key choices for scenario users, and how these impact modelling and implementation decisions

• Designing a scenario framework requires answers to many questions
• Prediction/forecasting vs Risk identification
• Short term or long term horizon
• Speed vs accuracy
• Products involved (e.g. Derivatives or Loans?)
• Which measure are we stressing?
• Specific uses may need a bespoke model, e.g. CCP Default Fund stress

Joanna Woods, Director, Credit Risk Analytics, Credit Suisse

17:10 Chair’s closing remarks

17:20 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

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

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

14:10 A practical approach to stress testing model validation

• Stress testing vs. other risk models, key challenges
• Analysis of various stress testing model components
• Development of efficient tools for validation and model performance monitoring

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, Senior XVA Quantitative Consultant, HSBC Global Banking and Markets

17:20 Chair’s closing remarks

17:30 End of Summit

Stress Testing Europe | Speakers

Dennis Bennett, CEO & Founder, MRMIA, Former Head of Model Risk Management, Federal Home Loan Bank of New York

Dennis Bennett will be presenting at Stress Testing Europe 2018

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

Antoine Bezat will be presenting at Stress Testing Europe 2018

Assad Bouayoun, Senior XVA Quantitative Consultant, HSBC Global Banking and Markets

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).

JL Drew, Senior Consultant, QRM

JL Drew, CPA is a Senior Consultant at Quantitative Risk Management (QRM) with over 10 years of experience. He currently is the lead consultant on Stress Testing and CECL/IFRS 9 engagements. JL also participates in projects related to credit loss forecasting, asset and liability management, Value-at-Risk (VaR), Response Surface Modeling, strategic planning, among others. Since 2016, he is a regular speaker at QRM’s Annual Balance Sheet Management Conference in Chicago.

JL obtained his undergraduate degree in Finance and Accounting (with high honors) from DePaul in 2004. Upon graduation, he worked as a Consultant at Deloitte leading private equity and hedge fund tax accounting engagements. He then attended the Northwestern University Kellogg School of Management for his MBA, where he specialized in Strategy and Finance, graduating in 2014. During and after his time as a student at Kellogg, JL worked as a Senior Risk Management Consultant at the Federal Reserve Bank of Chicago where he participated as a manager for the Comprehensive Capital Analysis and Review (CCAR) and the Coordinated Liquidity Review (CLR), as well as served as a subject matter expert on the Current Expected Credit Loss Model (CECL).  JL has been a registered Certified Public Accountant since 2007.

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 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, Chief Risk Officer, Weatherbys Private Bank

David Kindred will be presenting at Stress Testing Europe 2018

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

Dmitry Lobaskin will be presenting at Stress Testing Europe 2018

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.

Nigel Milbank,  Head of Stress Testing control management, RBS

Nigel is a Chartered Accountant and has held various roles in banking having worked in Internal Audit at Schroders and Credit Suisse. Previous roles also include Head of Operational Risk and Enterprise Risk reporting to CRO’s at Santander. In the last 7 years Nigel has been Head of ICAAP and held various Stress Testing roles at RBS.

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

Alessandro has 20 years experience as a professional in the consulting and banking industries. He is currently covering the position of EMEA Head of Risk Stress Testing and ICAAP at State Street Bank & Trust, based in London. He is also in charge of other strategic initiatives such as Brexit risk management, Culture & Conduct and Governance. Alessandro was formerly the Chief Risk Officer of State Street Bank S.p.A., the Italian subsidiary of State Street Group. Prior to State Street, he worked several years in McKinsey & Company and Arthur Andersen, after his first working experience at the Italian Clearing House.

His certifications of Certified Public Accountant and Auditor complete his academic background in Economics and Banking

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, 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.

Richard van Tilborgh, Head of Risk Appetite & Disclosure, ING Bank

Richard van Tilborgh will be presenting at Stress Testing Europe 2018

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 and 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. He graduated MSCS from École Centrale Lyon and Columbia University, a MBA from INSEAD and is certified actuary.

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

Sunil Verma will be presenting at Stress Testing Europe 2018

Alexander von Felbert, Head of Risk Management, Airbus Bank

Alexander von Felbert will be presenting at Stress Testing Europe 2018

Joanna Woods, Director, Credit Risk Analytics, Credit Suisse

Joanna Woods will be presenting at Stress Testing Europe 2018

Stress Testing Europe | Insights

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

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

By Jeff Simmons, MD, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi

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.

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 sophie.goodeve@cefpro.com or call +44 (0)20 7164 6582.

Stress Testing Europe | Venue

VENUE

Etc Venues
Monument 8, Eastcheap
London, EC3M 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
28 Great Tower St, London EC3R 5AT
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

Networking & Drinks Evening with MRMIA

Monday 12 November | 6-8pm

Bringing Model Risk Management professionals together to share daily challenges and solutions unique to their profession.

MRMIA’s first networking event is being held on Monday, 12 November in conjunction with CeFPro’s 6^th Annual Stress Testing Europe 2018 (November 13-14)

Relax and unwind after work at the networking evening, enjoy complimentary drinks, canapés and the opportunity to network with fellow Model Risk Professionals.

Why should you attend the MRMIA networking event?

In addition to the complimentary drinks and canapés, the event will include:

• Opening presentation from Dennis Bennett
  • What is a model?
  • What does it mean to be “independent”?
  • What does “effective challenge” mean?
  • How to tell a model owner their model is mis-specified, or needs improvement?
  • Organisational structure – and how do we report to the Board of Directors?
• A chance to network with fellow Model Risk professionals

Venue

ETC Venues, Monument 8, Eastcheap, London, EC3M 1AE UK

Same location as the Stress Testing Europe Summit the next day.

Form not working? Please call us on +44 (0) 20 7164 6582 / +1 888 677 7007

A little background on MRMIA

Stress Testing Europe | Register

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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.