Workshop 2: Future of stress testing: Stress testing that you always wanted to run but never dared to ask

8:30 Registration and breakfast

9:00 Focus on stress scenarios

  • Stress testing today and tomorrow - regulators' expectations
  • Art and science of writing stress test scenarios
  • Scenario selection
  • Probability trap
  • Logic of illogical stress scenarios

Evgueni Ivantsov, Head of Portfolio Management and Strategy, LLOYDS BANKING GROUP and Chairman of the EUROPEAN RISK MANAGEMENT COUNCIL


10:00 Morning coffee break 1

10:15 Stress testing governance

  • Who own a stress test
  • How to avoid a conflict of interests in stress testing process
  • Process flow and decision making

Evgueni Ivantsov, Head of Portfolio Management and Strategy, LLOYDS BANKING GROUP and Chairman of the EUROPEAN RISK MANAGEMENT COUNCIL

11:15 Morning coffee break 2

11:30 Stress testing methodology

  • Methodology of scenario analysis
  • Non-linearity problem of stress testing
  • 360 degree assessment of stress impact
  • Building a robust mitigating action plan

Evgueni Ivantsov, Head of Portfolio Management and Strategy, LLOYDS BANKING GROUP and Chairman of the EUROPEAN RISK MANAGEMENT COUNCIL

12:30 Lunch

1:30 Use of data in stress testing

  • Data pitfalls in current practice
  • Streamlining data to transform stress testing
  • Capturing and using unstructured data
  • Creating a Fintech-ready data environment

Steve Lindo, Lecturer, COLUMBIA UNIVERSITY

3:00 Afternoon coffee break

3:30 Forecasting models

  • Limitations of current forecasting models
  • Modelling methodologies that use advanced analytics
  • Fintech forecasting models
  • Getting from Fintech model design to production

Steve Lindo, Lecturer, COLUMBIA UNIVERSITY

5:00 End of workshop

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