Moody's Analytics. Harald Kröger. Head of Integrated Risk. Management.
Raiffeisen Bank. International. Attending this Annual marcus evans Conference.
6th Annual
Stress Testing Explore innovative measures for optimising your risk strategy to meet tougher capital requirements Lancaster London, London, UK 30th November, 1st & 2nd December 2011 Half-Day Interactive Pre-Conference Workshop Making stress testing less stressful
Led by: Andrew Collingworth Managing Director Collingworth Consulting Ltd.
In the Chair:
Attending this Annual marcus evans Conference Will Enable You to: • Hear the latest requirements for the 2012 European-wide stress tests • Prepare for the transition to Basel III and realise the impact the latest regulations will have on your risk management strategy • Learn to successfully embed stress testing throughout your bank • Develop a comprehensive reverse stress testing framework that meets the latest regulatory expectations • Understand the increasing importance of liquidity risk stress tests • Discuss how to formulate tailor-made scenarios for your stress tests • Examine innovative approaches to stress testing
Learn from Key Practical Sessions: • European Banking Authority review the 2011 stress tests and look forward to next year’s • Financial Services Authority explores the current UK framework for stress tests • Barclays Capital address the challenge of integrating scenarios across risk types • UBS focus on stress testing market risk shocks • Lloyds Banking Group highlight the importance of using the results to improve your risk strategy • HSBC analyse macroeconomic stress test modelling and scenario analysis • RBS look at the increased significance of stressing liquidity risk
Philip Winckle Senior Advisor to the CRO, Group Risk SEB Group
marcus evans Expert Speaker Panel: Piers Haben Director, Oversight European Banking Authority Janne Lipponen Manager, Pillar 2, Stress Testing and Operational Risk Policy Financial Services Authority Philip Winckle Senior Advisor to the CRO, Group Risk SEB Group
Stuart Burns Head of Credit Risk Methodology Barclays Capital Sunil Verma Senior Vice President Northern Trust Peter Harlow Chief Risk Officer Daiwa Capital Markets Europe
Hanspeter Bornhauser Head of Risk Control LGT Capital Partners
Zoran Stanisavljevic Head of European Wholesale Risk Analytics HSBC
Ivelina Nilsson Head of Business Risk, Group Risk Lloyds Banking Group Drew Johnson Director, Investment Bank Stress Testing UBS
Business Development Partner:
conferences
Dr. Didier Sornette Professor on the Chair of Entrepreneurial Risks ETH Zurich Graham Strong Former Deputy Director, Risk Analytics Bermuda Monetary Authority Andy Jobst Chief Economist and Assistant Director, Risk Analytics Department Bermuda Monetary Authority
Christoph Konvicka Head of Credit Analytics Group UniCredit Bank Austria AG
Peter Quell Head of Portfolio Analytics DZ Bank
Gold Sponsor:
Tamar Joulia-Paris Former Board Member IACPM and CEBS Consultative Panel Guest Professor in Financial Risk Management Facultés Universitaires Saint-Louis
Bill Rickard Head of Regulatory Development, Group Treasury RBS Markus Krebsz Subject Matter Expert Author of ‘Securitization and Structured Finance Post Credit Crunch: A Best Practice Deal Lifecycle Guide’
Dr. Fabrizio Lillo Professor University of Palermo, Scoula Normale Superiori di Pisa, Santa Fe Institute Sergey Ivliev Managing Director Prognoz Financial Institutions Solution Division Prognoz Risk Lab Dr. Juan M. Licari Senior Director, Head of Economics and Credit Analytics EMEA Moody’s Analytics Harald Kröger Head of Integrated Risk Management Raiffeisen Bank International
finance series
Pre-Conference Workshop
30th November 2011
MAKING STRESS TESTING LESS STRESSFUL 12.45 Registration and Morning Coffee 13.00 Workshop Leader’s Opening Remarks
Gold Sponsor:
Developing a tailor-made stress test mechanism for your bank This workshop will enable participants to learn more about the right tools to implement a consistent, standardised stress test within your organisation. Having a more efficient structure in place for your stress tests will minimise the organisational challenges that stress testing presents and give you a much better chance of achieving the best possible results to help restore investor confidence in your bank. Topics Covered Include: • Industrialising stress testing: Creating a ‘push-button’ stress test machine • Moving from ad-hoc to ‘production line’ stress testing • Benefits this will have for your bank • Formulating consistent scenarios across risk types for your business • Reverse stress testing: Methodologies and developing scenarios for your bank
Moody’s Analytics helps capital markets and risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services, and research, including the proprietary analysis of Moody’s Investors Service, Moody’s Analytics integrates and customizes its offerings to address specific business challenges. Moody's Analytics is a subsidiary of Moody's Corporation (NYSE: MCO), which reported revenue of $2 billion in 2010, employs approximately 4,500 people worldwide and maintains a presence in 26 countries. Further information is available at www.moodysanalytics.com
Led By: Andrew Collingworth Managing Director Collingworth Consulting Ltd. Attendees will be able to enjoy afternoon tea and networking opportunities midway through the workshop at 15.15 17.30 Workshop Leader’s Closing Remarks
Business Development Partner:
PROGNOZ is one of the leading Russian developers of software for data management, monitoring, analysis, modeling and forecasting. Since 1991 the company has accumulated rich experience in implementing large-scale projects for government agencies, financial institutions and large industrial enterprises and holding companies in Russia and abroad.
Business Development Opportunities: Does your company have solutions or technologies that the conference delegates would benefit from knowing? If so, you can find out more about the exhibiting, networking and branding opportunities available by contacting: Athul George, Sponsorship Manager, marcus evans London Tel: +44 (0)20 3002 3172 Email:
[email protected]
www.marcusevans.com
Conference Day 1
1st December 2011
08:30 Registration and Coffee
13:50
Stress testing from a market risk angle • Specifying market risk shocks • Calculating market risk stress losses • Integrating credit and market risk
09:00 Opening Address from the Chair Philip Winckle Senior Advisor to the CRO, Group Risk SEB Group
Drew Johnson Director, Investment Bank Stress Testing UBS
STRESS TESTING: THE STORY SO FAR 09:10 European Banking Authority’s outlook for stress tests • EBA stress tests: Feedback on 2011 and set-up for 2012 • An overview of the latest requirements • Are the requirements clear enough? • Establishing consistency in stress testing • Is a greater frequency of European-wide stress tests feasible? Piers Haben Director, Oversight European Banking Authority 09:50 The view from the Financial Services Authority • Meeting FSA expectations on stress testing, including reverse stress testing • Why regulators focus on capital management? • Meeting FSA expectations on better operationalisation of risk appetite frameworks Janne Lipponen Manager, Pillar 2, Stress Testing and Operational Risk Policy Financial Services Authority
14:30 Liquidity risk in the spotlight: The one that will take you down • Is liquidity risk now the most important risk to consider? • Adapting to the inclusion of liquidity risks in this year’s stress tests • Developing liquidity risk scenarios • Comprehensively stress testing liquidity risk • Using stress testing to identify and control funding liquidity risks Bill Rickard Head of Regulatory Development, Group Treasury RBS 15:10 Afternoon Coffee and Networking Break
SETTING THE SCENARIO 15:30
10:50 Transition to Basel III: A stress in itself • Impact of Basel III on business models and balance sheet management • How will Basel III affect banks’ risk appetite? • Impact of Basel III on stress test development • Challenges in the evolving role of risk management
11:30 Macroeconomic stress testing • Key risks to the global recovery • Linking scenario analysis with risk parameters: Credit and market risk stress testing • From risk parameters to portfolio analysis • Reverse stress testing from a macroeconomic viewpoint: Key quantitative challenges Dr. Juan M. Licari Senior Director, Head of Economics and Credit Analytics EMEA Moody’s Analytics
CUSTOMISED STRESS TESTING FOR DIFFERENT RISK TYPES 12:10
Case Study Focusing on credit risk in stress testing • Establishing suitable scenarios for credit risk • Stress testing macroeconomic scenarios and the challenges banks face with this • Translate macroeconomic scenarios into credit quality changes • Integrating counterparty risk Christoph Konvicka Head of Credit Analytics Group UniCredit Bank Austria AG
Case Study Integrating a consistent stress test scenario across risk types • Exploring a commonality across risk types to reduce pressure on resources • Benefits to your risk management system • Challenges in achieving this • Importance of good communication between all departments • New risk categories to consider
10:30 Morning Coffee and Networking Break
Tamar Joulia-Paris Former Board Member IACPM and CEBS Consultative Panel Guest Professor in Financial Risk Management Facultés Universitaires Saint-Louis
Case Study
Stuart Burns Head of Credit Risk Methodology Barclays Capital 16:10
Panel Discussion Defining suitable scenarios for your organisation • Tailor-made stress tests • Establishing the appropriate level of severity • Historical or current market data for scenarios? • Is a standardised stress testing framework viable for a global organisation? Hanspeter Bornhauser Head of Risk Control LGT Capital Partners Peter Quell Head of Portfolio Analytics DZ Bank Stuart Burns Head of Credit Risk Methodology Barclays Capital
16:50 Stress test design and methodology: Focusing on uncertainty • Stress tests as part of an overall risk control framework • The treatment of ‘uncertainty’ and ‘knowledge’ • The recognition of various exposure features • Quantitative approaches to purposeful and intuitive stress testing Hanspeter Bornhauser Head of Risk Control LGT Capital Partners 17:30 Closing Comments from Chair 17:40 End of Day One
12:50 Lunch
Conference Day 2
2nd December 2011
08:30 Registration and Coffee
12:50 Lunch
09:00 Opening Address from the Chair
13:50 Macroeconomic stress test modelling • Macroeconomic scenario analysis • Linking macroeconomic factors with PD and LGD data • Effect of macroeconomic shocks on your portfolio
Philip Winckle Senior Advisor to the CRO, Group Risk SEB Group
Zoran Stanisavljevic Head of European Wholesale Risk Analytics HSBC
STRESS TEST RESULTS: WHAT NEXT? 09:10 How do the 2011 stress test results compare between banks? • What do the results tell us? • Comparability of cross-bank PD and LGD data • Lack of methodological consistency leading to big variation in results • Stricter EBA guidelines needed to facilitate comparability • Effect of results on investor confidence Philip Winckle Senior Advisor to the CRO, Group Risk SEB Group 09:50
Case Study Practical implementation and integration of results • How should senior management treat the results? • How to best use the results to improve your risk strategy • Turning the results into qualitative data • Identifying areas of weakness within the organisation Ivelina Nilsson Head of Business Risk, Group Risk Lloyds Banking Group
10:30 Morning Coffee and Networking Break 10:50 Has stress testing served its purpose? • Stress tests: Usefulness and limitations • Stakeholders' view on stress tests • Today's design and integration of stress tests Harald Kröger Head of Integrated Risk Management Raiffeisen Bank International
OPTIMISING YOUR INTERNAL RISK MANAGEMENT STRATEGY USING STRESS TESTING 11:30
Panel Discussion Building an enterprise-wide stress test • Embedding stress testing throughout your business • More focus and importance placed on stress testing now than ever • Regular, comprehensive stress testing in all areas of the business: Moving away from ad-hoc testing • Ongoing improvement to internal tests • Creating a standardised internal stress testing mechanism Sunil Verma Senior Vice President Northern Trust Peter Harlow Chief Risk Officer Daiwa Capital Markets Europe Andy Jobst Chief Economist and Assistant Director, Risk Analytics Department Bermuda Monetary Authority
SOVEREIGN RISK AND MACROECONOMIC STRESS TESTS 12:10 Sovereign risk: Stress testing perspective • Why include sovereign risk in stress test scenarios? • How to include sovereign risk in stress test scenarios? • Key challenges in realising the effect of sovereign risks Sunil Verma Senior Vice President Northern Trust
14:30
Panel Discussion Stresses on financial markets: A look from a modelling and IT perspective • "Dragon-Kings": How to think about, model and forecast the crises that count • How market microstructure affects liquidity and market risks • How to deploy consistent IT environment for stress testing and risk based supervision Dr. Didier Sornette Professor on the Chair of Entrepreneurial Risks ETH Zurich Graham Strong Former Deputy Director, Risk Analytics Bermuda Monetary Authority Dr. Fabrizio Lillo Professor University of Palermo, Scoula Normale Superiori di Pisa, Santa Fe Institute Sergey Ivliev Managing Director Prognoz Financial Institutions Solution Division Prognoz Risk Lab
15:20 Afternoon Coffee and Networking Break 15:40 Product taxonomy and model risk management: No coffee without beans? • What's it all about? • How does this fit into the banking and risk management framework? • The regulators' (evolving) view • Classification approaches, taxonomy lifecycle and concrete examples • Implementation and taxonomy adoption: Benefits and challenges Markus Krebsz Subject Matter Expert Author of ‘Securitization and Structured Finance Post Credit Crunch: A Best Practice Deal Lifecycle Guide’
LIMITATIONS TO STRESS TESTING 16:20 Understanding the limitations of stress testing • The concept: Thinking about risk • The measurement: Basic aspects of quantitative risk models • Design principles for stress tests • How to interpret the result of stress tests? • What incentives are created through stress testing? Peter Quell Head of Portfolio Analytics DZ Bank 17:00 Closing Comments from the Chair 17:10 End of Conference
