Agenda

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Day One - Stress Testing | 1 Oct, 2024 Day Two - Climate Stress Testing | 2 Oct, 2024

8:00 – 8:50

Registration and breakfast

8:50 – 9:00

Chair’s opening remarks

9:00 - 9:35

Supervisory expectations to banks’ stress tests

  • Understanding supervisors’ expectations to banks’ internal stress test approaches for capital planning/ ICAAP purposes
  • Severity, plausibility and narratives of adverse scenarios
  • Reviewing the relevant level of prudence when translating scenarios into risk parameters and solvency impact

Christoffer Kok,
Head of Division,
European Central Bank

9:35 – 10:20

BASEL 4
Reviewing the draft guidelines set by EBA and implementing the new solvency rules into stress testing frameworks

  • Taking a more standardized view of risk-weighted assets
  • Ramping up economic assessments with more complex regulatory stress testing
  • Reviewing the draft methodology for the new EBA stress test guidelines
  • Applying a top-down approach to reduce shortcomings in scenarios
  • Reviewing if climate risk will be added into this stress test
  • Increased granularity of details needed for regulators
    • Applying industry averages to get this information
  • Identifying potential challenges when gathering relevant data

Jothi Philip,
Head of Finance Change in Strategic Planning and Stress Testing,
HSBC

10:20 – 10:50

Morning refreshment break and networking

10:50-11:30

SCENARIOS – PANEL DISCUSSION
Running additional scenarios to identify and eliminate potential vulnerabilities across the institution

  • Leveraging tools to run more scenarios concurrently
  • Linking scenarios back to business strategy
  • Designing internal stress test scenarios that are aligned to the business model
  • Running multiple scenarios to explore and identify vulnerabilities
    • Reporting results to management
  • Ranking outcomes of different scenarios and determining relevance to business model
  • Keeping up-to-date scenarios with an uncertain landscape

Imran Syed,
Head, IB Counter Party, Market Risk Stress Testing,
UBS

Ceren Üstün,
Head of Risk Management,
Yapi Kredi Bank Deutschland

11:30-12:05

GEOPOLITICAL RISK
Adapting current stress tests to reflect the uncertain geopolitical landscape and future-proofing businesses

  • Operationally integrating geopolitical risks into risk appetite
    • Enhancing tools and learnings into origination and monitoring process
  • Accounting for geopolitical risk assessments more systematically
  • Reviewing potential impact of US elections and impact to scenarios
  • Modelling events that go beyond the conventional approach
  • Keeping banks operating purely on assumption
    • Potential of China and US decoupling
  • Integrating future geopolitical risks into stress tests

Richard van Tilborgh,
Head of ICAAP Analytics,
ING

12:05-1:05

Lunch break and networking

1:05-1:50

PANEL DISCUSSION
Reporting and articulating stress testing results to management to bring value to business strategy

  • Producing tools for management to understand the scenarios of the bank
  • Identifying scenarios that have a vulnerability
    • Communicating this to management
  • Translating quantitative data to something that management can understand
  • Making stress testing number visible for management to strategize
    • Steering the business forward based off results
  • Assigning probabilities to results of stress testing calculations
  • Leveraging stress testing results to ensure management stays within risk appetite

Berislav Jozic,
Head of Integrated Risk Management,
Addiko Bank AG

Stefan Wolowiec,
Head of Stress Testing Unit,
European Investment Bank

1:50-2:25

REVERSE STRESS TESTING
Revisiting reverse stress testing and understanding the business value

  • Integrating capital and liquidity strategies into reverse stress testing
  • Justifying economic capital charge through reverse stress tests
  • Reviewing different approaches to reverse stress testing
  • Reviewing new business approaches to stress testing
  • Turning the theoretical scenarios made into business value
  • Maximizing value from a reverse stress test
  • Quantitively performing reverse stress tests
  • Leveraging AI and machine learning to perform reverse stress testing

Jérôme Henry,
Principal Adviser –DG Macroprudential Policy and Financial Stability,
ECB

2:25 - 3:00

DATA
Building out and leveraging relevant data sets to accurately shape future stress tests

  • Posing data from various stress tests to regulators
  • Generating analytics for pricing, liquidity or capital intakes
    • Effectively using this data from a commercial standpoint
  • Integrating different data sets within stress testing exercises
    • Leveraging results for commercial decision-making and planning
  • Understanding the intricacies of functions within a bank from data sets
  • Leveraging PMA to compensate for events that cannot be captured by data
  • Putting more weight on PMA with emerging risks and less available data

Ula Antonkiewicz-Kotla,
Global Head of Legal Entity ICAAP and Stress Testing,
Citi

3:00 - 3:30

Afternoon refreshment break and networking

3:30 - 4:05

AI AND AUTOMATION
Integrating AI and automation to stress tests to increase agility and advance effectiveness

  • Reviewing how helpful machine learning could be in an extreme stress event
  • Leveraging AI to automate modeling processes
    • Reducing human intervention and operational risks
  • Reviewing where automation can advance stress testing
  • Automating and integrating data
  • Automating the stress testing process
  • Identifying and mitigating risk through AI models for stress testing
  • Learning best practices from institutional-wide AI implementation and usage
  • Exploring big data sets

4:05 -4:40

MODELING
Leveraging advanced technology to model and further develop stress testing

  • Reviewing modeling requirements set by regulators
  • Reviewing the latest developments in modeling across banks
    • Understanding current trends being used to upgrade modelling
  • Advancing modeling process to improve stress testing
  • Stress testing machine learning models as they are integrated into the business
  • Governing stress test models with regulation changes
    • Having good model documentation and monitoring
  • Identifying limitations with stress testing models

Ushnish Banerjee,
Vice President – Quantitative Analysis Group
Morgan Stanley

4:40 -5:25

MACROECONOMIC LANDSCAPE – PANEL DISCUSSION
Performing and updating stress tests with an uncertain macroeconomic landscape to reduce the potential impact

  • Adapting stress tests with no historical data to the new economic landscape
  • Understanding specific sectoral problems from a forward-looking manner
  • Implementing stress tests for the future with uncertain economic landscape
  • Testing multiple scenarios in a time of uncertainty
    • Making the business more nimble to reduce impact
  • Understanding impact from financial market instability from non-bank institutions
  • Assessing interest rate risk with new shocks and implementing into risk frameworks

Stéphane Dees,
Head of Climate Economics Unit,
Banque De France

Sahil Joshi,
Director, Stress Testing Lead, Prudential Risk EMEA,
Macquarie Group

5:25- 5:35

Chair’s closing remarks

5:35

End of day one

DAY TWO - CLIMATE STRESS TESTING | 2 OCT
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8:00 – 8:50

Registration and breakfast

8:50 – 9:00

Chair’s opening remarks

9:00 - 9:45

REGULATION
Reviewing the new EBA exercise and integrating this into stress tests

  • Assessing the impact of one-off Fit-for-55 climate risk scenario analysis
    • Reviewing what will be expected from regulators
  • Leveraging the 2022 ECB climate stress test
  • Evolution of regulatory-driven climate scenario
  • Enhancing resilience around the EBA exercise to transition to a lower carbon economy
  • Reviewing capital impact if there is a dip in asset values when running climate stress tests
  • Reviewing if there will be climate stress testing requirements in the new Basel 4
  • Integrating climate risk stress testing in line with current requirements
  • EBF, ECB & EBA to align regulations on climate stress testing

9:45 - 10:20


Surprise effect of climate risk data in regulatory models

  • Regulatory changes: change or shape of models for IRB capital requirements
  • EPC impact on Point in Time PD models ( use for IFRS9 )
  • For Climate change impact on Long Run Average (TtC) PD
  • Stress testing: Credit risk with Climate risk elements (joint approach)

Zsolt Jaczko,
Head of Retail IRB Modelling,
Nationwide Building Society

10:20 - 10:50

Morning refreshment break and networking

10:50 - 11:40

MODELING – PANEL DISCUSSION
Building and integrating climate risk stress testing models

  • Assessing what scenarios should be incorporated
    • Balancing long-term versus short-term
  • Modelling climate risk scenarios for potential amplifications in the future
  • Effectively assessing frameworks in an environmental matter
    • Including biodiversity, water scarcity, pollution and recycling
  • Integrating climate risk components through a pillar 2 model
  • Changing the climate stress tests to have a short view with a threat step implication
  • Data requirements for complex modeling
  • Techniques to validate climate risk models

Doug Baird,
Head of Climate Risk Analytics and Pension Risk, Financial & Strategic Risk,
NatWest

Stéphane Dees,
Head of Climate Economics Unit,
Banque De France

Mourad Berrahoui,
Managing Director – Head of Risk Analytics,
Lloyds Banking Group

11:40 - 12:20

DATA
Managing climate risk stress testing with little historical data appropriately building models for the future

  • Creating assumptions with limited data
  • Developing robust models with a lack of data
  • Interpreting data and inputting to models
  • Forecasting climate impacts based on current or historical data
  • Data requirements to incorporate climate into stress testing
  • Collecting granular data for decision-making across portfolios and clients
  • Converting climate data into financial data

12:20 - 1:20

Lunch break and networking

1:20 - 2:10

INTEGRATION – PANEL DISCUSSION
Integrating climate risk stress testing across other risk types in the business

Stefan Wolf Stärtzel,
Vice President – Climate Science, Nature & Biodiversity – Investment & Analytics,
JP Morgan

Daniel Bressler,
Vice President, Climate and ESG Capital Markets,
NatWest tbc

2:10 - 3:00

TRANSITION AND PHYSICAL RISK
Measuring and integrating transition and physical risk into current stress tests

  • Develop best strategies scenario formulation processes: Climate Models, RCP/SSP, NGFS.
  • Integrating transition risk into stress tests for the next business cycle
  • Flagging potential losses with financing – Advancing methodology of transition and physical risks
  • Top down vs. bottom-up approach
  • Modelling transition and physical risk o Developing robust models
  • Reviewing if transition and physical risk should be capitalized
  • Integration into Risk Management: ESG and regulatory/economic capital

Alvaro Fernandez,
Sr Lead Validator & Head of Climate Risk Working Group CRMV,
ING

3:00 - 3:30

Afternoon refreshment break and networking

3:30 - 4:20

SCENARIOS
Developing scenarios for climate risk stress tests with increased regulatory requirements

  • Defining scenarios and if climate risk should be included within credit risk
  • Developing the definition design of climate scenarios
  • Formulating scenarios with an uncertain future for climate
  • Running multiple scenarios for climate stress testing
  • Combating climate change risk with well-developed scenarios
  • Developing scenarios to support physical risks
    • Scenarios to highlight losses within other risk types

Lorenzo D’Auria,
VP Enterprise Climate Stress Testing,
Bank of America

4:20 - 5:10

Reviewing approaches to climate stress testing and potential impact on capital, liquidity and assets

  • Assessing the probability of climate events leading to impact to assets
  • Diversification of risks between banks and client sector and credit risk mitigation
  • Capturing climate risk data and mapping it into balance sheet
  • Capturing the transmission of climate risk to the balance sheet
  • Integrating climate stress testing into capital stress testing
    • Reviewing if this should be a pillar 1 or 2 approach
  • Reviewing potential impacts from companies credit ratings with increased energy prices
  • Adapting to climate change related risk to avoid financial impact
  • Accurately modeling climate risk and how to translate it into financial risk

5:10 - 5:20

Chair’s closing remarks

5:20

End of day one and networking drinks reception

DAY ONE - STRESS TESTING | 1 OCT
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