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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Comprehensive Balance Sheet Stress Testing

Understand and deliver best practice stress testing for financial services firms

23-24 May 2017
NBC Tower, Chicago, IL, United States of America


Why You Should Attend

Comprehensive Balance Sheet Stress Testing

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

Develop and execute a comprehensive approach to Stress Testing through a highly interactive and hands on learning experience.

How will you benefit?

Stress testing of balance sheet exposures has long been a prudent risk management practice at financial services firms.  Despite spanning several risk dimensions, including credit risk, interest rate risk (“IRR”) and liquidity risk, the recent financial crisis revealed weaknesses in the scope, use and integration of stress testing practices.  In considering how to address these and other weaknesses in the financial system, Congress passed the Dodd-Frank Wall Stress Reform and Consumer Protection Act (“DFA”) in July 2010; this act (as well as several subsequent regulatory pronouncements) codified specific requirements for formal stress testing activities, including which macroeconomic scenarios are to be analyzed, which methodologies are to be used, the integration of risk factors, how modeling assumptions are to be set, comprehensive results reporting as well as clarifying expectations for governance and use.

Most organizations found that they were not prepared to meet the heightened stress testing standards.   In general, risk management functions were not integrated and factor-specific analysis was not combinable in any meaningful way. Exacerbating this challenge, most vended balance sheet modeling solutions were not designed to address the new modeling requirements. In short, ALM models were unable to dynamically model credit risk and credit risk systems did not address the rest of the balance sheet and did not typically have dynamic simulation capabilities. Neither of these systems was integrated with a fully-specified macroeconomic scenario generator and neither addressed data deficiencies which were endemic. As a result, multiple systems were patched together to compute an assessment of capital adequacy, but close review of model output usually revealed the need for significant qualitative adjustments to model projections. These were due to a combination of weak models, inadequate or poor quality data and weak integration of balance sheet and income statement risk impacts. Best practices confirms that the granular and consistent application of stress scenarios across current and forecast business activities and positions is a prerequisite for producing results that are accurate, transparent and useful in the management of balance sheet risk.

About your expert trainer:

John Barris

John Barris has more than 15 years of risk and capital management experience.  Prior to joining The Exequor Group he was the Head of Capital Planning at Santander US, where he was responsible for production of the Capital Plan. John worked across multiple groups to advise on PPNR modeling strategies, model development, risk tolerances, risk appetite, and IT infrastructure development.  Mr. Barris has extensive experience with both in-house and vended risk calculation solutions, including Moody’s, Bancware and QRM.  Prior to joining Santander, he served in various risk and capital positions at State Street, RBS Citizens, and Wellington, including leadership positions in model development and analytics.

Mr. Barris received his MBA from the University of South Carolina and has BS in Electrical and Mechanical Engineering from Cornell.

David Green, PhD, CFA

David Green is the financial services practice lead at The Exequor Group. Dr. Green brings lessons learned in a 20 year career spanning banking, bank regulation, consulting and software development to bear on a broad range of risk and balance sheet management challenges. He served as the Treasurer at BankUnited, the largest bank headquartered in Florida, where he was responsible for the investment portfolio, funding and derivatives, secondary marketing, FTP and ALM. Prior to this he was the A/L Manager at SunTrust Bank where he built and managed all of the static and stochastic interest rate risk models for the bank and worked to coordinate a number of business functions including budgeting/forecasting, funds transfer pricing and strategic balance sheet management.

Dr. Green is a former Chairman of the Georgia Bankers Association's A/L Management Committee. He also served as a Bank Examiner at the Federal Reserve Bank of Atlanta, where he also spent two years in research while completing his Ph.D. He was Chairman of SunGard/Bancware's US Client Advisory Council for many years.  Dr. Green holds a Ph.D. in Economics from Georgia State University, a BS in Applied Mathematics from Georgia Tech and is a CFA charter holder. He is a frequent speaker at banking and risk management conferences.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

This course is intended to benefit all members of a depository institution’s stress testing, capital management and credit modeling teams.

Some solution providers may not be able to attend this course due to the proprietary nature of some of the material presented. If you work for a solution provider please contact us before booking a seat.


Key Topics

  • Appreciate how stress testing can serve uses beyond the regulatory requirements and improve the management of risk within the organization
  • Learn how to model a full business under stress
  • See how poorly constructed models lead to inaccurate and potentially fatal results.
  • Understand how to mitigate some of the unique challenges of stress
  • Review practical case studies highlighting best practice approaches to stress modeling

  • Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.







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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Gareth Banks


    101 Finsbury Pavement
    London EC2A 1RS
    England

    Telephone:
    +44 (0) 20 3002 3400
    Fax: +44 (0) 20 3002 3016
    Email: garethb@marcusevansuk.com