Macro-Economic Environment and Stress-Testing

IFSID Workshop – November 13, 2017

Audience: 20-25 people. Fund managers, middle office, corporate treasurers wishing to strengthen their quantitative skills.

Location: HEC Montréal. Standard classroom or trading room.

Context: Canadian Risk Forum Pre-Conference Workshop

 

Agenda*

November 13
8:30AM Registration
9:00AM Risks and opportunities on the FX market

Alexandre Jeanneret (HEC Montreal)

  • Currency Hedging and Portfolio Management
  • Carry Trade Premium
  • FX Exposure and Equity Portfolio
10:15AM Coffee break
10:30AM Stress Testing: Integration of macroeconomic and market risk factors

Ricky Power (Moody’s Analytics)

  • What is Stress Testing?
  • Creating Scenarios: Macroeconomic and Market Variables
  • Assessing Frequency and Severity
12:00PM Lunch at Cercle HEC
13:45PM Advanced methods for stress-testing: Leveraging latest cognitive technology

Stephen Wang (IBM)

  • Ongoing Constraints in Effective Stress Testing
  • Opportunity for Cognitive Sciences to Support the Stress testing Agenda
  • Deployment of Cognitive Technologies alongside Typical Stress Testing Platforms
15:00PM Coffee break
15:15PM Stress-tests applications with macro-economic risks

Thomas Verbraken (MSCI)

  • Best practices on how to translate macro-economic scenarios in stress test analysisCconcrete examples based on MSCI analytics research
16:30PM Adjourn

 

Speakers

Alexandre Jeanneret, PhD, Associate Professor of Finance, HEC Montreal

Alexandre is a member of HEC Montreal faculty since 2010. His current research focuses on international finance, asset pricing and risk management. He teaches derivatives and investments in the BAA program and international portfolio management at the MSc level. He holds a Master in Economics from the University of British Columbia and a PhD in Finance from the Swiss Finance Institute and HEC Lausanne.

Ricky Power, FSA FIA CERA, Associate Director; ERS Product Specialist, Moody’s Analytics

Ricky joined Moody’s Analytics in October 2013. He is an Actuary working in the Enterprise Risk Solutions team from the New York office. He is a Product Specialist for both of Moody's Analytics Economic Scenario Generator and GGY AXIS Actuarial Software. Ricky previously worked with Moody’s Analytics in a similar role in London. Before this he worked as an Actuarial consultant with Milliman in Dublin. He has completed the Institute and Faculty of Actuaries examinations and has also achieved the CERA (Chartered Enterprise Risk Actuary) qualification. He holds a Bachelor of Actuarial and Financial Studies from University College Dublin.

Stephen Wang, MEng, FRM, Global Offering Management Lead - Buy-Side Financial Risk Solutions, IBM

Stephen Wang has over 15 years of experience in the risk management domain, ranging from advising mining and energy firms on their risk strategy as a consultant at McKinsey & Co., through risk management oversight roles at the Bank of Montreal, and currently as the global offering manager for Buy-Side financial risk solutions at IBM Algorithmics.  Stephen is bilingual, holds the GARP FRM certification and has a background in Industrial Engineering (MEng) at the University of Cambridge in the U.K.

Thomas Verbraken, Vice President, MSCI

Thomas Verbraken is a Vice President at MSCI and member of the ‘risk and regulation’ research team and is located in the Budapest office. He works on the development of new risk methodologies for the Barra and RiskMetrics models, with a special focus on the ongoing evolution of banking regulation.

He is also an active contributor to the stress testing research at MSCI, such as the regular design of topical stress test scenarios and the best practices framework for stress testing. Finally, he is responsible for the publication of the Riskmetrics Year in Review, an extensive risk models backtest report.

Prior to joining MSCI, Thomas obtained a PhD in Applied Economics at the KU Leuven, Belgium. He is also a CFA charterholder and holds a Master in Civil Engineering, also from the KU Leuven.

 

*subject to change