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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Advanced Stress Testing & Scenario Analysis

With a focus on regulatory requirements and internal risk management principles related to stress testing.

18-19 Nov 2021
New York, NY, United States of America


Why You Should Attend

Advanced Stress Testing & Scenario Analysis

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

Stress testing has long been a critical element of risk management within banks and other financial institutions, particularly those regulated by the Federal Reserve and subject to CCAR. Although banks have experience in this field, the emergence of new types of risk and continued economic volatility mean that it is crucial for them to evaluate their current processes and ensure that they are agile, efficient and commensurate with the size and complexity of the bank.

The IMODX Consortium structured this program to provide understanding of the regulatory requirements and internal risk management principles related to stress testing. This also elaborates various types of stress testing programs and how practitioners can carry out stress testing and integrate it into their overall risk management framework and BAU processes. This will be supported by practical examples, and a hands-on war game exercise which includes an examination of management stress testing actions and what could be done to adjust business exposures and stress testing practices to keep banks within required regulatory and performance ratios.

About your expert trainer:

Dr. Alex Shipilov has over 25 years of experience gained inside the financial services industry. He has held executive positions with banking, insurance and accounting firms and led risk management, internal audit functions, and quantitative risk advisory practices. He has also consulted financial institutions and corporate treasuries in Canada, the U.S, the U.K, Spain and Russia. Alex is a co-founder of the Professional Risk Managersí International Association (prmia.org) and the International Model Exchange (iModX.org).

Mich Araten has had over 40 years of experience at JPMorgan Chase where he developed credit risk capital and expected loss models for global retail, wholesale, and capital markets, and has completed a number of historical studies supporting these models. A special focus has been on regulatory issues, Basel, and JPMorganís Strategic Risk Grading Task Force. He has published widely in journals, authored chapters in books, and is a frequent speaker at conferences. As Managing Director of Credit Risk Capital Advisory, he provides consultancy to banks and conducts training seminars throughout the world. He has been an Adjunct Lecturer at Columbia University, Fordham Graduate School of Business, and at Polytechnic Institute and holds a PhD in Operations Research from Columbia University.

Dr Rafael Cavestany has over 20 years of experience in the financial services industry covering the banking and insurance sectors. He is the CEO of The Analytics Boutique a software vendor specialised in Operational Risk and Stress Testing software solutions that he founded. He has worked on projects for leading financial institutions in the USA, Canada, the UK, France, Luxemburg, Spain, Italy, Latin America and South Africa, in the development of risk management analytics software solutions and the corresponding methodologies, workflows and data requirements with special emphasis on economic capital and operational risk modelling. Regarding operational risk modelling, he has undertaken projects in the insurance, banking, energy, oil and gas, and food industries and led the development of the software solution. He is the main author and editor of Operational Risk Capital Models, Risk Books, 2nd Ed, 2020. Rafael received the PhD in Economics from UCLM, an MBA from the University of Michigan and a degree in economics from Universidad Autonůma de Madrid.

Bogie Ozdemir is a Financial Services Risk Management senior executive. He has extensive experience both as a practitioner and a consultant, having worked in the Canadian banking, insurance, and credit union industries. Until recently, he held the CRO, EVP and senior risk leadership roles at major banks and insurance companies. Bogie developed an advanced risk function and led the bankís capital transformation with AIRB, IFRS9 implementation, stress testing, economic capital, ICAAP, and served as a member of the executive team. He authored and co-authored three books on Basel implementation, Capital and Business Mix Optimization, and Risk Strategy, and published 20+ research articles in peer reviewed risk magazines. Bogie has extensive global experience working as a consultant with S&Pís Risk Solutions based in New York, but also covering Asia, Europe, and South America.

Dr. Yaping Jiang has over 25 years of experience in financial industry. She has extensive knowledge and experience in financial risk and model risk management with focuses on all aspects of quantitative analytics, including valuation of various derivatives products, risk measurements/ monitoring of key risk types (market, credit, and operational risks), economic/ regulatory capital calculation, model lifecycle controls, and model risk governance.

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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, Insurance Companies, Regulators and other Federal or State supported Credit Organizations. The course is particularly relevant for practitioners within:

  • Stress Testing
  • CCAR & Capital Management
  • Risk Modeling
  • Model Development/Validation
  • Strategic Planning
  • Audit and Model Validation
  • Regulatory Compliance
  • Risk Reporting
  • Enterprise Risk Managers
  • Governance

The course will also benefit Boards of Directors and the Senior Management team


Key Topics

  • A better understanding of the factors / parameters impacting stress testing
  • The ability to carry out stress testing for different risk types
  • An insight into integrating stress testing into risk management
  • Knowledge on how to meet the regulatory expectations around stress testing
  • Advice on how climate change and Covid-19 factors should be incorporated into estimates stress testing

  • 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 content, Credit risk presentation was the best. Really liked the attempt towards final exercise. HomeTrust
    • “Excellent course for industry, and for regulators looking to understand how enterprise stress testing is assembled within the firms they regulate” CDIC
    • “Good, very useful, some of the presenters were excellent. Real-life content and examples were the best presentations” HomeTrust
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    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