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AGENDA

You are here: Home1 / Agenda
Day One - Stress Testing | 1 Oct, 2024 Day Two - Climate Stress Testing | 2 Oct,
2024
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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





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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




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






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 * 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




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






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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 Counterparty,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




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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 ICAAPAnalytics,
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




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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�




1:50-2:25

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







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 * 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





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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,�
Global Head of Legal EntityICAAP 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





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 * 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





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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




4:40 -5:25

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

Ogo Uduchukwu, �
Vice President Planning and Stress Testing – Investment Bank,
Barclays




5:25- 5:35

Chair’s closing remarks







5:35

End of day one and networking drinks reception






DAY TWO - CLIMATE STRESS TESTING | 2 OCT
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REGISTER NOW


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






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 * 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




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

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





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 * 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





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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




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





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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




4:20 - 5:10

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





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 * 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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