Stress Testing Europe 2018

Stress Testing Europe | Agenda

13th November | London

08:00 Registration and breakfast

08:50 Chair’s opening remarks

Justin Lyon, CEO, Simudyne

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, Director, 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 Afternoon refreshment break and networking

15:10 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

15:50 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

16:30 Quantitative multi-period reverse stress testing using quantum and simulated annealing (applied to XVA)

• Learn what is reverse stress testing and why it is important for financial risk management
• Understanding how to apply it to XVA / total valuation
• Following a concrete example of optimisation using simulated annealing
• Introducing quantum annealing

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

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

JL Drew, Director, QRM

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, Head of Risk, EWUB
Jeff Simmons, Managing Director, Head of Enterprise Risk Management, Bank of Tokyo Mitsubishi
Eric Vergnaud, Deputy Head of Risk Strategy, BNP Paribas

FORECASTING
9:50 Forecasting Impairments

• EBA & PRA Stress Testing Assumptions
• Merging IFRS 9 & Stress Testing Models
• Impairment projections
  • Probability-weighted Approach
  • Bottom-up Account-level Approach
  • Top-Down Account-level Approach
• Putting it All together

Dr Petr Zemcik, Senior Director, Moody’s Analytics

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
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 Afternoon refreshment break and networking

15:20 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

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 Chair’s closing remarks

16:50 End of Summit

Please note, this agenda may be subject to change.

Stress Testing Europe | Speakers

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

Founder and CEO of Model Risk Mangers’ International Association (MRMIA.ORG).  Founded in March, 2018, MRMIA has grown to over 2.000 professional model risk managers from all major risk centers globally. Prior to founding MRMIA, Mr. Bennett was Head of Model Risk Management, Federal Home Loan Bank of New York, a $150billion asset bank. There he was responsible for model validation and model governance for all FHLBNY models.

He was founder & CEO of Silver Bay Advisors, a consulting/advisory firm that built and used credit risk and prepayment models for daily, weekly and monthly forecasting of market values, prepayments, the probability of default, loss given default for over $1 Trillion face amount of mortgage and mortgage-related assets during the credit crisis.  Silver Bay also built and used custom valuation models for the sale of financial institutions in FDIC conservatorship.

His career has included risk-focused consultant/advisory and software models for most of the  world’s major financial institutions, covering all types of risk:  market, FX, commodity, credit, earnings, operations, etc.  He has been building, installing, using and improving models for over 30 years.  He has seen much of the best and worst that models, and model users, have to offer.

He sees the role of model risk managers to help ensure that management and the board are making decisions based upon the best models available, and so that they understand the strengths and weaknesses of those decision-support models and algorithms.

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

Antoine Bezat is responsible of Stress Testing Models and Methodologies globally for BNPP since 2017. This transversal role covers all risk classes (Credit, Market, interest rates,  Operational  and cybe, 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, Senior XVA Quantitative Consultant, HSBC Global Banking and Markets

I am a senior XVA Quantitative Consultant at HSBC global market 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 and Scotibank.

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, Director, QRM

JL Drew, CPA is a Director at Quantitative Risk Management (QRM) with over 15 years of experience. He currently is the lead consultant on Stress Testing and CECL/IFRS 9 engagements. Prior to joining QRM, JL worked as a Senior Risk Management Consultant at the Federal Reserve Bank of Chicago where he was part of the dedicated CCAR team. JL began his career at Deloitte and obtained his MBA from Kellogg School of Management at Northwestern.

Cecilia Gejke, Head of Risk, EWUB

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

An experienced CRO with strong quantitative skills, derived from 25+ years within Banks, Building Society’s and through consultancy delivered across the financial sector. Risk management exposure has spanned FTSE 100 to start-up organisations where I have enhanced and implemented improvements across risk management.

A financially astute and IT literate commercial director focused on balanced and sustainable portfolio development, in line with risk appetite. Thus, whilst planning for growth utilises stress testing to assess and mitigate risk.

David is currently approved by the Regulator as a CRO and is also a trustee for a number of Christian Charities.

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

I have over 10 years of experience in model validation, starting from various Front Office Pricing Models, covering Equity, IR, FX and Hybrids, and switching to all types of Risk Models afterwards. My current primary focus as a Co-Head of Risk Model Validation at Nomura is on validation of credit exposure, margin calculations and stress testing models implemented in Nomura Group globally. I have PhD in theoretical physics from Augsburg University and MSc in applied math and physics from Moscow Institute for Physics and Technology.

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

Charles Richard, Senior Vice President, QRM

Charles will me the moderator of the Stress Testing Europe Summit on day 2.

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

Jeff Simmons joined MUFG Bank in June 2014 as the Head of Enterprise Risk, tasked with creating the function. He has been involved intensively with the enhancement of the Risk Management framework in MUFG Bank (Europe). This has involved him in the formation of an Enterprise Risk function in Amsterdam tasked with delivering the full range of regulatory submissions.  In April 2018 he transitioned to MUFG Securities to become involved in the Brexit project. In this capacity he is the CRO for MUFG Securities (Europe) N.V. the Dutch subsidiary of MUFG Securities (EMEA).

Prior to joining the bank he spent some 20 years specialising in best practice Risk Management including Market Risk, Credit Risk, Risk Model Validation and Regulatory Risk consulting. As well as have line management responsibilities in various institutions he has also gained extensive experience in implementing Risk Management frameworks from both a technical and operating model based perspective.

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 Capital Analytics, ING Bank

After obtaining a Master’s degree in econometrics, Richard van Tilborgh joined ING Barings in 2000 as market risk analyst for the Trading and Treasury Books where he was involved in risk monitoring and development of risk and pricing models. In 2003, he joined the ALM department where he modelled prepayment behaviour in mortgage portfolios and replication of savings portfolios, and was involved in the internal hedging program of the relevant portfolios. As part of the Basel II implementation program, ING started in a Model Validation department where Richard was involved with developing and implementing validation processes for market risk models and for internal and regulatory capital models. In 2011, Richard joined the Risk Integration & Analytics department where he was involved with the Basel III implementation and with the further development of the Risk Appetite Framework. After being the Global Coordinator for Recovery & Resolution Planning, Richard was appointed as head of Capital Analytics wherein he is responsible for the group-wide Stress Testing Framework and Risk Appetite Framework.

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

Alexander von Felbert, Head of Risk Management, Airbus Bank

Alexander von Felbert has over 12 years of work experience in the insurance and banking fields. He joined the finance world after studying pure mathematics and computer science. He has worked as a risk manager, quant, and software developer in the banking and insurance industry gaining expertise in market, credit, counterparty, operational and liquidity risk.

In his current role at Airbus Bank, he is responsible for the risk management and controlling department. At Airbus, model validation is considered to be a valuable tool to increase the trust in model results. Alexander has had the opportunity to validate a wide variety of models throughout his career, ranging from different market, counterparty-credit and credit risk models to alternative asset and insurance risk models.

Beside his position at Airbus Bank, Alexander is doing research in math finance. He lives with his wife and daughter in Munich, Germany.

Joanna Woods, Director, Credit Risk Analytics, Credit Suisse

Joanna is the Head of CCR Exposure Stress Testing Methodology at Credit Suisse, where she is responsible for overseeing the development and implementation of scenario exposure models for regulatory and internal stress testing. Her team works closely with stakeholders in Credit Risk Management and Enterprise Risk Management to agree scenario definitions, scope and approach.

Joanna has been at Credit Suisse for 12 years, also heading other functions such as EMEA Trade Analysis. She has an Economics Degree from Cambridge and an MSc in Banking & Finance.

Prior to her banking career, Joanna was a professional violinist for 10 years, working with the Royal Philharmonic Orchestra (RPO), Royal Opera House and other orchestras.

Petr Zemcik, Senior Director, Moody’s Analytics

Petr is a Senior Director at the Moody’s Analytics London office who manages of a team of risk modelers and economists in London and Prague offices. He frequently serves as an engagement lead and a head modeler for projects across several lines of business in the U.K., continental Europe, the Middle East, and Canada to design and validate PD/LGD/EAD credit risk models for IFRS 9, A-IRB, and stress testing. He supervises quality control, development, and validation of macroeconomic country models, credit risk products using proprietary data, satellite market risk models, and other forecasting products in Europe and the Middle East. In addition, he is involved in development and calibration of alternative macroeconomic scenarios. 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 such as Journal of Real Estate Economics and Finance, Journal of Housing Economics, and Journal of Multivariate Analysis. Petr holds a Ph.D. and MA in Economics from the University of Pittsburgh and MSc in Econometrics and Operations Research from the University of Economics in Prague.

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

Register online

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Other ways to register

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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.