ESG Stress Testing MasterClass - EU edition
05-08 February, 2024
In this course attendees will gain a comprehensive overview of popular stress testing quantitative techniques.
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.
05-08 February, 2024, Virtual
Time Zone: UTC/GMT+1 /CET
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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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.
Who should attend?
Analysts, Vice Presidents, Directors, Senior Managers in:
• Treasury Functions: ALM, Liquidity, FTP
• Capital Management
• Regulatory Compliance
• Risk Analytics
• Market Risk Management
• CRO’s & CFO’s
• Enterprise Risk
• Stress Testing
• Quantitative Research
"High attention to detail in course content and very well delivered"
Product Development Manager
"Very good training led by two knowledgeable and open experts. Excellent insight given on many complex topics. Interactive and highly useful"
USP PD Team Manager
"Great course, impressed with the knowledge of the trainers and ability to answer wide variety of questions!"
Manager, Senior Investigator
MT Sword Laboratories (BMS)
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Years of experience
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