ESG Stress Testing MasterClass - EU edition

16-19 September, 2024

A theoretical and practical understanding of stress testing methodology

Delegates will have the opportunity to work in small teams on spreadsheet-based examples, including the use of a comprehensive example model developed by the trainer, to simulate ESG events overlaid with a CO2 emissions scenario.

16-19 September, 2024, Virtual
Time Zone: UTC/GMT+1 /CET

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Key learnings

Updating

Updating participants on current and future ESG issues

Stress Testing Approaches

To provide a comprehensive overview of stress-testing approaches

Develop

Develop quantitative techniques

Computation

Computation of risk metrics under stress: regulatory capital ratios, leverage ratio, EVE, NII, LCR and NSFR.

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Overview

Policy change and subsequent regulations, as well as emerging risks mean that incorporating ESG factors into stress tests is becoming ever more important. Many types of risk can be exposed by stress testing that may not be apparent using models that are only calibrated to recent historical data. In addition, stress testing is a forward looking analytical exercise whereas other risk modelling approaches tend to be rather more data driven and backward looking. In this course attendees will gain a comprehensive overview of popular stress testing quantitative techniques, and will also be provided with examples of how these techniques have been applied to ESG risks. The aim of this course is to learn by doing rather than simply to listen to PowerPoint presentations. Delegates will have the opportunity to work in small teams on spreadsheetbased examples, including the use of a comprehensive example model developed by the trainer, to simulate ESG events overlaid with a CO2 emissions scenario. Delegates will explore the impact on the macro economy and financial risk factors and simulate potential changes in EVE, Capital, LCR and NSFR on a simple bank balance sheet. Plenty of PowerPoint slides will of course also be provided with the intention that these are primarily for background reading but the trainer will spend as much time as delegates wish presenting the slides and the theoretical content.

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Trainer

Gary Dunn

Gary Dunn started out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager in UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fixed income portfolio managers and the FX desks.

Gary then ventured into the private sector where he spent a further 10 years as a proprietary trader. Following that he joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC).

From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.

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Reasons to attend a masterclass

Practical knowledge

Venture into undiscovered territories and gain inspiration through collaboration

Interactivity

Boost your professional skills by directly engaging with domain experts

World-class trainers

Gain value and learn from the best instructors

Networking

Build a top-notch community and advance your career

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Who should attend?

Analysts, Vice Presidents, Directors, Senior Managers in:
• Treasury Functions: ALM, Liquidity, FTP
• Capital Management
• Regulatory Compliance
• Governance
• Audit
• Risk Analytics
• Market Risk Management
• CRO’s & CFO’s
• Enterprise Risk
• Stress Testing
• Quantitative Research

Ticket options for you

Full event
pass

Team participation?

*minimum of 10 participants

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Testimonial

Our success stories

"High attention to detail in course content and very well delivered"

Simon Halsey

Product Development Manager
Essentra Packaging
United Kingdom

Our success stories

"Very good training led by two knowledgeable and open experts. Excellent insight given on many complex topics. Interactive and highly useful"

Aurelie Vivicorsi

USP PD Team Manager
Celonic AG
Switzerland

Our success stories

"Great course, impressed with the knowledge of the trainers and ability to answer wide variety of questions!"

Emilia Szwej

Manager, Senior Investigator
MT Sword Laboratories (BMS)
Germany

About GLC

Global Leadership Conferences began as an ambitious dream by three founders ten years ago. Today it’s an international series of interactive events, exploring the hottest topics in critical fields. Each year, thousands of professionals join us to challenge the status quo and learn innovative ways to create new solutions in Finance, Pharmaceutical, HR, Health & Safety, and Energy.

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