Enterprise-Wide Stress Testing

Enterprise-Wide Stress Testing
Ten years ago, the Global Financial Crisis crystallized the importance of assessing and planning for potential and severe market stresses. Many institutions and markets faced unprecedented volatility and market uncertainties for which most were not prepared. Since the crisis, stress testing has evolved via expanded legislative, regulatory and other stakeholder requirements.  Stress testing is critical to supporting risk identification and control. It provides a complementary perspective to other risk management tools by supporting and improving capital and liquidity management among other functions. Stress testing is particularly important at the end of a credit cycle when the lack of challenging conditions can lead to complacency and under-recognition of risk. Please join PRMIA London for this important discussion among leaders in the field.

 

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Agenda Speakers

 

Date:

June 26, 2019

Time:

8:00am - 10:00am

Location:
Bloomberg L.P.
3 Queen Victoria Street
London EC4N 4TQ, UK


Highlights:

* Enterprise-Wide Stress Testing: Lessons from the global financial crisis and recent history
* Key considerations for keeping your stress-testing program up to date
* Session includes focus on regulatory, modeling, forecasting, and technological perspectives 

Agenda
  Time   Event
  8:00am - 8:30am
  Registration and Refreshments
  8:30am - 8:35am
  Welcome Remarks by Lesley Scott, PRMIA London Chapter Steering Committee
  8:35am - 9:30am
  Panel Discussion Moderated by David Croen, Bloomberg L.P.
  9:30am - 10:00am
  Networking with Coffee and Cookies

Speakers
     
David Croen, Bloomberg L.P.
Business Manager, Credit Risk and Event Moderator

David is head of credit risk products for Bloomberg, L.P., working on the firm’s enterprise risk services business. Prior to joining Bloomberg, David led risk management and valuation for global banks and asset managers, with specialization in credit and securitization. He contributed to the President’s Working Group on Financial Markets Best Practices for Risk Management (2008), and has advised U.S. regulators and accounting firms on complex structured finance transactions. David earned a B.A. in Applied Mathematics and an MBA in Finance, both from the University of Rochester.
     
  Thomas Groen, Barclay's
Head of Capital Risk

Thomas started his career in ABN AMRO where he worked for thirteen years. He held roles in Market Risk and Credit Risk before moving to the front office holding a derivate sales role on the Trading Floor. His last role at ABN AMRO was Head of Treasury Capital Planning in where he was responsible for the capital plans on which the bank was re-capitalized after state-ownership of the businesses. He moved to Barclays in 2011 and became Head of Group-wide stress testing and his role expanded to include management of Capital and Liquidity Risk as well as owner of the Risk Appetite process of the bank.

  Dr. Ying Hu, Sumitomo Mitsui Banking Corp. 
Director, Head of Risk Analytics

Dr. Ying Hu has served as Head of Risk Analytics for Sumitomo Mitsui Banking Corporation since 2014. Dr. Hu established the bank's Model Risk Governance Framework and provides technical and qualitative leadership to the risk analytics team, as well as leads the Stress Testing and Scenario Anysis for the Bank's ICAAP. In her role she also manages and operates the Economic Capital models, Operational Risk model for ICAAP Pillar II assessment, IRB models, and the IFRS9 impairment model. Dr. Hu has previously served as a Senior Quantitative Analyst for the Credit Risk Planning Group at the bank, responsible for conducting Credit Risk stress testing, Pillar IIA calculation, including Concentration Risk, and managing the bank's RAROC tool and supporting front office business users.

  Mitsura Tanaka, Nomura 
Executive Director, Global Head of Stress Testing

Mitsuru is the Global Head of Stress Testing in Nomura group, overseeing the stress testing programmes globally, both for regulatory capital and internal risk management purposes. Before leading the stress testing team in Risk Management, Mitsuru served in a business management role for secondary market making and xVA desks, covering business strategy, regulatory and IT projects like MiFID II. Prior to joining Nomura in 2013 as a part of the stress testing team in Tokyo, he had previously worked in Chase / JP Morgan Tokyo for 13 years in multiple roles including MO, Credit Risk Management, CVA desk and Credit exotic trading. Before he left the firm he was head of Asia Pacific Structured Credit Trading desk.

  Tin Lau, TP ICAP
Head of Financial & Strategic Risk

Tin joined TP ICAP as the Head of Financial and Strategic Risk in 2018. Prior he worked for the FCA where, he responsible for supervision of areas such as the review and evaluation of firms, model waivers, structured products, the UK Regulated Covered Bond market and the UK Securitisation market including STS. He has also represented the UK at IOSCO and various ESAs. His previous industry experience was from various roles on the buy- and sell-side including quantitative analysis, fund management and economic capital modelling. He holds a dual-honours Masters in Engineering from the University of Warwick, called to the Bar of England and Wales, Chartered Management Accountant, Chartered MCSI, a member of the Institute of Operational Risk and of the Network of Operational Risk Modellers.


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Registration
 Membership Type Price

This event is FREE for members and non-members, although registration is required.  IMPORTANT:  Registration at the door is not an option due to building security requirements. You must be registered in advance to attend this event and your contact information will be shared with Bloomberg for the security process.  Registration closes at 11:59 p.m. EDT on June 24, 2019. Click "Register Myself" below to reserve your spot. Make sure to click "Continue" to proceed with your registration. (If this is your first time accessing the PRMIA website you will need to create a short user profile to register.)  Become a PRMIA member by registering at becoming a member

 
When
6/26/2019 3:00 AM - 5:00 AM
Where
Bloomberg L.P. 3 Queen Victoria Street London, United Kingdom EC4N 4TQ UNITED KINGDOM
 

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