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Developing an integrated framework for stress testing
New York
18 & 19 May 2010
London
25 & 26 May 2010
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PDF (194 KB)***** DO NOT ENTER ANYTHING HERE OR REMOVE THIS BLOCK. THIS IS A HACK TO USE STYLESHEET TO CONTROL THE LAYOUT ****
Learning outcomes:
- Ensure your stress testing framework is bringing value to your business
- Assess the impact of macro-economic dependencies to the portfolio
- Develop firm-wide scenario capturing all material risks
- Explore a Bayesian statistical approach to stress testing
- Integrate financial analysis to achieve robust stress testing methodologies
- Investigate how stress testing ties into capital adequacy
- Evaluate internal models to assess Pillar 1 capital requirements
Course dates & venues
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NEW YORK 18 & 19 May 2010 |
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LONDON 25 & 26 May 2010 |
Course tutors
NEW YORK
Richard Hamilton
Senior Vice President, PNC FINANCIAL SERVICES
Sean Keenan
Portfolio Analytic Leader, GE CAPITAL
Andrew Liegel
Senior Product Manager, FRS GLOBAL
Mikhail Oet
Quantitative Analyst, FEDERAL RESERVE BANK OF CLEVELAND
Ricardo Rivera
Supervising Risk Management Specialist, NEW YORK STATE BANKING
DEPARTMENT
Daniel Tu
Advisory Manager, PRICEWATERHOUSECOOPERS
Anders Wulff-Anderson
Executive Director, UBS
Cristiano Zazzara
Managing Director, Global Head of Banking Business, RISKMETRICS
GROUP
LONDON
Ioannis Akkizdis
Senior Financial Risk Analyst, FRS GLOBAL
Hakan Andersson
Risk Analyst, SWEDBANK
Benedict Boelen
Quantitative Analyst, BNG VERMOGENSBEHEER
Michael Krichbaum
Risk Analyst, DEKABANK DEUTSCHE GIROZENTRALE
Laurie Mayers
Manager, FINANCIAL SERVICES AUTHORITY
Mario Onorato
Head of Balance Sheet and Capital Management, ALGORITHMICS
Peter Quell
Team Head Portfolio Modelling, DZ BANK AG
Oliver Sommer
Quantitative Analyst, UNICREDIT BANK AUSTRIA AG
Marlene Wickenhauser
Market Risk Manager, UNICREDIT BANK AUSTRIA AG
Course highlights:
- Stress testing from a regulatory perspective
- Selecting suitable stress scenarios and developing a robust framework
- The integration of market and credit risk in stress testing analysis
- Aggregating stress testing across all risk types
- Stress testing liquidity
- Stress testing for economic capital and the ICAAP process
- A probabilistic based approach to stress testing
- Addressing the data challenge to carry out reliable stress tests
