The future of credit risk and stress testing: How are requirements and techniques advancing?

Never Miss A Beat: A Quantitative Approach For Transforming News To Credit Signals

Presented by Dr Rainer Glaser, Partner, Oliver Wyman, and Ian Shipley, Partner, Oliver Wyman, featuring insights on:

• The latest thinking on NLP and transformer models
• The impact of news flow on credit worthiness of counterparties or investments
• Mitigating actions that can be taken in order to reduce credit losses or capital requirements

Stress Testing Today, Tomorrow and Beyond

Presented by Jeroen Van Doorsselaere, VP, Global Product & Platform Management, FFR, Wolters Kluwer talks about:

• Stress testing as a catalyst and a driver: Climate, Interest Rates, COVID, Liquidity, Basel capital
• Implications of stress testing requirements
• The architecture characteristics derived from you stress testing
• Stress testing: a criterion to evaluate your risk management framework

Building stress testing models for climate change risk

Moderated by Alok Rustagi, Director, Data & Analytics, EXL

On the panel:

• Pankaj Talwar, Chief Risk Officer, Absa Regional Operations
• Scott Aguais, Managing Director & Founder, Z-Risk Engine
• Konstantina Armata, Senior Modeling Expert, Barclays (ex Group Head Model Risk at Deutsche Bank)

This panel addresses the following challenges in building stress testing models for climate change risk:

• Is the current regime (ECB stress test requirements) clear enough to drive appropriate decision making and behaviour?
• Are there practical challenges in building these models due to data unavailability and data quality?
• How should banks think of short-term vs long term stresses for physical and transition risks on their portfolio due to climate?
• How can climate stress tests utilize a combination of objective climate data and scenarios to assess extreme risks in the future?