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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Stress Testing and Scenario Analysis: Best practices and new developments

An up-to-date overview of regulatory requirements and innovative solutions to the open problems

18-19 Jun 2018
London, United Kingdom


Why You Should Attend

Stress Testing and Scenario Analysis: Best practices and new developments

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.

The better the preparation of an institution, the better the chances of navigating through an environment in which the probability of stress events is non-negligible

How will you benefit?

Stress Testing has become a hot topic since the onset of the financial crisis in 2008-2009, as risk measures such as VaR proved to have major drawbacks in capturing the probability of extreme events.  Since then, central banks and regulators have issued copious guidance for how to conduct stress tests in financial institutions with the aim of complementing the traditional risk measures.

This course will review the existing Stress Testing techniques for Credit, Market and Liquidity Risk and the regulatory framework behind them. It will discuss their integration into already existing risk measurement systems both at a portfolio and transaction level. The seminar will also offer a new technique of how to design forward-looking scenarios to satisfy both regulatory requirements and the internal need for better capital planning.

About your expert trainer:

Alexander Denev has more than 10 years of experience in Finance in different countries across Europe and is currently Founder of GraphRisk, a company aimed at promoting the use of graphical models in Risk Management and Asset Allocation. He is currently involved in projects preparing major US and European banks for the CCAR/EBA stress testing exercises.

Alexander led the wholesale modelling team responsible for Stress Testing of The Royal Bank of Scotland until January 2014. He was also in charge of the EAD/LGD wholesale modelling teams and other important risk management projects such as the Country Risk Ranking and Early Warning Indicators. Prior to that, he worked in The Royal Bank of Scotland as a Fixed Income Structurer leading the Tail Hedging project of the bank. He provided advice and devised hedging products for big institutional clients (Pension Funds and Insurance Companies).

Before joining RBS, Alexander was in charge of the Basel II/III implementation project for the European Investment Bank (EIB) and European Investment Fund (EIF). He was also leading the quarterly internal stress testing exercises both for the EIB and the EIF. He participated in the engineering of both the EFSF (European Financial Stability Facility) and the ESM (European Stability Mechanism).

Prior to that, he covered different specialist and managerial positions in risk management departments in different large international groups such as National Bank of Greece, Societe Generale and BNP Paribas.

Alexander holds degrees in Mathematical Finance (University of Oxford). He also holds a BSc & MSc in Engineering Physics (University of Rome). He is author of papers in Finance on topics ranging from Stress Testing to Asset Allocation. He is a regular speaker at key conferences and global forums e.g. Risk Minds, Global Derivatives, Quant Congress, Risk Middle East etc.

He is co-author (with Riccardo Rebonato) of the book "Portfolio Management under Stress” published by Cambridge University Press and author of the forthcoming book “Probabilistic Graphical Models in Finance”. He is currently editing a book on Machine Learning Methods in Trading and Investment.

 

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?

From financial institutions and consultants:

· Risk Management

· Risk Control

· Risk Audit

· Risk Modelling

· Capital Planning Managers

· Stress Testing Specialists & Managers



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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