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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Stress Testing for Banks

A structured online course delivered live over four half-day sessions

19-22 Jan 2021
Online, United Kingdom


Why You Should Attend

Stress Testing for Banks

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

How will you benefit?

The benefits of attending our training courses are well known. Apart from the practical knowledge gained from the trainers there is also the opportunity to benchmark your business processes against industry best practices along with gaining valuable insights from the other participants. Often however circumstances can make it difficult to travel to courses and be there in person.

This live online training course has been created in order to enable executives from banks worldwide to experience the benefits of a live course from their office or home.

Stress testing has become an important tool for risk management and a key part of the regulatory framework. This course discusses various approaches to generating stress scenarios ranging from simple ‘what-if’ to the use of full structural macroeconomic models of the global economy.It will look at examples of impact on the balance sheet and P&L projections under stress scenarios.

Many types of risk can be exposed by stress testing that may not be apparent using only models calibrated to recent historical data. These risks are explored by looking at potential impact on regulatory indicators under stress scenarios. Hence the impact on capital ratios is explored and also the LCR and NSFR indicators of liquidity and the impact of stress scenarios on IRRBB (interest rate risk in the banking book) and the leverage ratio.

About your expert trainer:

Gary Dunn started out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager in UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fixed income portfolio managers and the FX desks.

Gary ventured into the private sector where he spent a further10 years as a proprietary trader.

Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures that contributed to a review of the academic literature on market risk measures, the first in a long series of FRTB papers from BCBS and industry.

From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.

Now Gary works as a consultant and trainer.

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?

Analysts, Vice Presidents, Directors, Senior Managers in:

  • Treasury Functions
  • Capital Management
  • Regulatory Compliance
  • Governance
  • Audit
  • Risk Analytics
  • Market Risk Management


Key Topics

  • All the benefits of attending a live course without the time and expense of having to travel.
  • Receive an electronic copy of the course material prior to commencement
  • Practical case studies for participants to work on after each session which will then be discussed in the next session
  • Gain the perspective of other participants both during and after each session

  • 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
    • “Interesting, complete, and challenging.” BNP Paribas
    • “Gary was very flexible in delivery of content when faced with knowledgeable participants” BNP Paribas
    • “Very kind, knowledgeable, and inclusive. Managed difficult conversations well” RBC
    Join the Discussion





    Event Contact

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

    Kamelia Simeonova


    101 Finsbury Pavement, London, EC2A 1RS



    Telephone:
    0044 203 002 3172
    Fax:
    Email: kamelias@marcusevansuk.com