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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Stress Testing for Banks

A two-day intensive workshop featuring practical examples, group exercises and in-depth discussions

17-18 Nov 2020
Hilton Canary Wharf, London, 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

Although our online training courses have been very successful, for many people nothing beats having the opportunity to travel to an event to meet the trainer and other attendees in person. They recognize that the networking and informal discussions that take place at face-to-face events cannot be replicated online, therefore as travel and in-person constraints begin to ease, we are excited to be able to bring you Gary Dunn’s highly successful courses in a safe and secure in-person setting.

This interactive 2 day course led by Gary Dunn has five main objectives:

· To provide a comprehensive overview of stress testing approaches

· Developing quantitative techniques:

o Scenario construction

o A look at some modelling techniques: Econometric models, vector autoregressions, Kalman Filters, stochastic simulation, pricing options, modelling behavioural options, basis risk, credit spreads.

o Mapping economic scenarios to risk factors affecting valuations and P&L

· The computation of risk metrics under stress: regulatory capital ratios, leverage ratio, EVE, NII, LCR and NSFR.

· Risk aggregation and assigning probabilities to stress scenarios in order to compute an economic capital number

· Using real case studies to demonstrate approaches to stress testing

The course will also consider regulatory guidelines to stress testing and looks at regulatory stress testing exercises, for example, EBA/ECB, Bank of England and DFAST/CCAR.

An innovative area of focus on the course will be on coherent approaches to risk aggregation in order to construct an economic capital number based on stressed scenarios. Participants will work on Spreadsheet-based examples and engage in role-playing exercises using breakout rooms to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.

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 then ventured into the private sector where he spent a further 10 years as a proprietary trader. Following that he 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, and as a result of the 2020-1 Coronavirus pandemic he has also successfully transitioned to delivering his courses online, thus ensuring that banking professionals around the world continue to benefit from his insights.

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:

· Stress Testing Managers

· Capital Management

· Regulatory Compliance

· Governance

· Audit

· Risk Analytics

· Market Risk Management

· CRO’s & CFO’s

· Enterprise Risk Managers

· Prudential Risk

· Quantitative Analysts

· Treasury Functions: ALM, Liquidity, FTP

Key Topics

  • Experience of facing regulatory challenge on a proposed model
  • An understanding of the value and challenges of stress testing
  • Acquired theoretical and practical understanding of stress testing methodology
  • Developed a joint approach to ICAAP and ILAAP
  • Gain experience of facing regulatory challenge

  • 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
    • “Good course with inspirational teacher, open minded approach to discussions and knowledge-sharing. Relevant subject” Danske Bank
    • “Very informative and interesting, the material received was very detailed” APS Bank
    • “Good and learned a lot, the trainer knew a lot about the subject and could answer all questions” Synechron
    • “Interesting and useful, tied everything together, and gave real-life practical examples and insights” First West Credit Union
    Join the Discussion

    Event Contact

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

    Kamelia Simeonova

    101 Finsbury Pavement, London, EC2A 1RS

    0044 203 002 3172
    Email: kamelias@marcusevansuk.com