8:00 – 8:50
Registration and breakfast
More to come
8:50 – 9:00
Chair’s opening remarks
Day 1 Moderator: Andrew Cross, Managing Director, Cross Risk Consulting
9:00 - 9:35
Supervisory expectations to banks’ stress tests
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- 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
Stella Riga,
Deputy Head of Division, Stress Test Experts Division
ECB
9:35 – 10:10
BASEL
Data challenges with Basel 3.1 implementation in Stress Testing
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- B3.1 Changes – high level overview
- Data and System challenges faced with specific focus on
- Credit risk
- Op risk
- Consolidation and Reporting
Jothi Philip,
Head of Stress Testing Change Delivery,
HSBC
10:10 – 10:40
Morning refreshment break and networking
10:40-11:25
SCENARIOS – PANEL DISCUSSION
Running additional scenarios to identify and eliminate potential vulnerabilities across the institution
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- 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
Jonathan Taylor,
Senior Advisor, Stress Testing & Risk Management,
Bank of England
Jack McKeown,
Director: Stress Testing/Climate Risk Stress Testing
Deloitte
11:25-12:00
GEOPOLITICAL RISK
Adapting current stress tests to reflect the uncertain geopolitical landscape and future-proofing businesses
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- 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
12:00-1:00
Lunch break and networking
1:00-1:45
PANEL DISCUSSION
Reporting and articulating stress testing results to management to bring value to business strategy
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- 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
1:45-2:20
REVERSE STRESS TESTING
Bringing reverse stress testing to a systemic level
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- Scope and implementation issues
- Supporting IT platform
- Multiple scenarios and outcomes
- Solvency and Liquidity
- Beyond banks
Jérôme Henry,
Principal Adviser – DG Macroprudential Policy and Financial Stability,
ECB
2:20 - 2:55
DATA
Building out and leveraging relevant data sets to accurately shape future stress tests
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- 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,
Director in Risk Management,
Citi
2:55 - 3:25
Afternoon refreshment break and networking
3:25 - 4:00
The silent killer: Is technology helping or hindering your stress-testing
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- Reviewing past stress testing requirements Vs today and the future
- Evaluating the current stress testing architectures
- Leveraging technology rather than dragging it with you
Matthias Coessens,
Managing Director EMEA, Co-founder
ElysianNxt
4:00 - 4:35
MODELING
Leveraging advanced technology to model and further develop stress testing
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- 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
4:35 - 5:20
MACROECONOMIC LANDSCAPE – PANEL DISCUSSION
Performing and updating stress tests with an uncertain macroeconomic landscape to reduce the potential impact
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- 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
5:20 - 5:30
Chair’s closing remarks
5:30
End of day one
8:00 – 8:50
Registration and breakfast
8:50 – 9:00
Chair’s opening remarks
Day 2 Moderator: Jack McKeown, Director: Stress Testing/Climate Risk Stress Testing, Deloitte
9:00 - 9:40
REGULATION
Climate stress testing from a supervisory perspective
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- Reflect on the challenges to develop an EU-wide CST framework
- Analyse climate stress testing regulatory requirements and their implications for financial institution
- Latest regulatory and supervisory initiatives on CST
Raffaele Passaro,
Director,
European Banking Authority
9:40 - 10:20
Surprise effect of climate risk data in regulatory models
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- 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
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- 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
Integration of climate and environmental risks into credit risk models: How to tailor the NGFS scenarios to your needs
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- Current challenges on the treatment of climate and environmental risks
- Overview of regulatory requirements across jurisdictions
- Outlining short-, medium and long-term solutions for climate and environment integration into risk models
- Tailoring the NGFS scenarios to a banks specific portfolio
- Deriving counterparty specific model shifts which are firmly based on NGFS scenarios
Rory Robinson,
Head of UK Sustainability
d-fine
Thomas Wulf,
Head of ESG in Credit Risk division
d-fine
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
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- Combining climate risks with standard risk scenarios that are apart of regulatory stress tests
- Quantifying climate risk factors into operational risk stress tests
- Unifying stress tests to covers credit, market and climate risk
- Including climate risk stress tests through all risk categories
- Running scenarios for climate risk stress testing
- Reflecting the conversion of climate risk into other risk types in scenarios
- Adding climate risk stress testing into risk framework
Daniel Bressler,
Director, Climate & ESG Capital Markets,
NatWest
Sahil Joshi,
Director, Stress Testing Lead, Prudential Risk EMEA,
Macquarie Group
Jean-Marie Delport,
Head of Climate and Nature Model Development,
Deloitte
2:10 - 2:50
DATA
Advanced modeling techniques for climate risk stress testing with limited historical data
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- Formulating assumptions with limited historical data
- Developing robust hazard models amid data scarcity
- Interpreting and integrating data into models
- Forecasting the impacts of climate change based on historical, current, or future data
- Data requirements for climate integrated stress testing
- Collecting granular data for decision-making across portfolios and clients
- Translating climate data into financial metrics/ insights
Dr Natalie Lord,
Principal Climate Scientist
Fathom
2:50 - 3:20
Afternoon refreshment break and networking
3:20 - 4:00
TRANSITION AND PHYSICAL RISK
Measuring and integrating transition and physical risk into current stress tests
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- 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
4:00 - 4:40
SCENARIOS
Developing scenarios for climate risk stress tests with increased regulatory requirements
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- 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
4:40
End of day two
This is just the beginning
Above is the latest edition of the agenda, but this is just the beginning. As we approach the event, we will be adding more speakers and sessions to enhance your experience. To stay informed about these exciting updates, please register your interest using the form on the side.