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E:\marcusevansassets\Doc\Events\ Global Financial Markets Intelligence conferences | Quantitative Reverse Stress Testing

Global Financial Markets Intelligence

Global Financial Markets Intelligence

Quantitative Reverse Stress Testing

Lay the foundation of a more quantitative and systematic approach to reverse stress testing.

30 Sep-1 Oct 2019
Frankfurt, Germany

Why You Should Attend

Quantitative Reverse Stress Testing

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

How will you benefit?

We are more and more scared by unpredictable events and how they can impact our lives. The environment we are living in is more dangerous (trade wars, volatility in the markets, social unrest, and geopolitical uncertainty). The expectations are higher (regulation, shareholder pressure).

Whether you manage a portfolio, a business unit or a bank, you must make sure that a sudden shock in the markets provoking a large loss, a jump in your capital utilization or in your funding consumption will not drive you out of business. That is where reverse stress testing will help you identify the combination of risks hurting the most.

The idea is to lay the foundation of a more quantitative and systematic approach to reverse stress testing. The bottom up qualitative analysis performed currently to reveal hidden vulnerabilities is necessary but not sufficient. Regulators or risk managers are specifying stress scenarios with simplifications that could create a false sense of safety. A drop in house price may not affect in the same way two different banks, as one may over hedge this exposure and not the other.

To avoid a combinatorial explosion, a number of arbitrary choices are usually made in relation to the level of each shock, their combination and the time horizon. These assumptions although necessary, limit the effectiveness of this technique. Quantitative reverse stress testing is a more rigorous approach identifying the realistic scenario provoking the largest losses. It provides a means to understand the impact of extreme events and how to mitigate them.

The course is covering all the fundamental aspects of reverse stress testing that are needed to benefit from it. It introduces a rigorous mathematical framework, then proposes a heuristic approach based on annealing to solve the optimisation problem. The implementation, the system infrastructure design and the integration in the financial risk management of a firm are explained. Case studies from different industries are illustrating the benefits of quantitative reverse stress testing.

About your expert trainer:

Assad Bouayoun has over 15 years of quantitative analysis experience in investment banking. He is a quantitative finance specialist focusing on total valuation including xVA, risk, stress and reverse stress testing. He was responsible for designing industry standard hedging and pricing systems in equity derivatives during his time in Commerzbank, and had the same responsibility in credit derivatives while working for Credit Agricole, and also in xVA in institutions such as Lloyds Banking Group, RBS and Scotiabank.

During his tenure in Scotiabank, Assad has participated in the development of a robust, scalable and extendible xVA solution for the bank’s derivatives business (including interest rate and foreign

exchange calibration on CPU, Monte Carlo simulation and product evaluation on GPU). He integrated new technologies like Cloud or GPU and scientific methods such as AAD (Automatic Adjoint Differentiation). He also wrote a methodology for xVA credit marking for counterparty risk hedging which balances the need to preserve credit diversity with respect to the mark to market approach.

Assad is currently leading the quantitative team responsible for HSBC’s global multi-asset simulation analytic library and engine used for exposure calculation, credit limits, regulatory capital and xVA. Its remits include developing calibration, simulation, pricing and aggregation functions. His involvement incorporates a redesign of the analytic library using new numerical methods such as AAD for sensitivities, machine learning for pricing approximation and graph based parallelization in a hybrid cloud environment. In addition, Assad is a regular speaker in worldwide conferences in the field of quantitative finance and software development. He is also leading an initiative to leverage quantum annealing for xVA reverse stress testing.

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: Banks (retail, commercial investment), Insurance, Hedge Fund, Brokers.

Job titles:

  • Stress testing professionals
  • Credit and market risk modellers
  • Valuation controllers
  • Model development and validation
  • Quantitative analyst
  • Enterprise-Wide Risk Manager
  • Risk / Finance IT delivery
  • Internal and external audit

Key Topics

  • Understand why reverse stress testing is a necessary tool for efficient risk management.
  • Learn the concepts and the modelling framework behind this new discipline
  • Find out how to identify worst case scenario by solving a discrete or continuous optimisation problem.
  • See how you can make an impact by putting in place the right risk mitigants.
  • Look at the big picture and see how to integrate reverse stress of different businesses at the firm level.

  • 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.

    Voice of Our Customers
    • “Benefited from invaluable lessons learned” BNP Paribas
    • “The use of online mini-games and simulations was very engaging. I have enjoyed the interaction with the rest of the learners in the sessions” European Central Bank
    • “The practical approach solidified my understanding of the topic, well structured course” ING Bank
    • “Clear instructions and passionate delivery. Very open to answering questions and made everyone fell at ease” RBS
    Join the Discussion

    Event Contact

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

    Kamelia S. Simeonova

    101 Finsbury Pavement
    London EC2A 1RS

    0044 20 3002 3172
    Email: kamelias@marcusevansuk.com