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Risk Management

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

Posted by on 21 April 2023
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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?

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