Stress Testing Europe 2015

Stress Test Europe

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Stress Testing Europe 2015:  29-30 September

Key Highlights


Analysing challenges of reporting and submitting under different jurisdictions


Determining the right shock levels and scenarios for reporting


Understanding requirements and improving resilience to change


Data modelling, regulatory reporting, data sensitivities and  granularity of data


Developing internal stress testing process for effective risk management


Best practices for stress testing operational risk


Using reverse stress testing as a tool, effective quantification and processes


Economic capital and stress testing models and  consistency of market risk within capital adequacy

Featuring More Than 20 Heads of Stress Testing

Matthew Sandoe
Head of Global Risk Analysis & Reporting, Capital Markets & Investment Solutions,
BNP Paribas

Sanghamitra Karra
ED, EMEA Head of Stress Testing & Portfolio Risk,
Morgan Stanley

Sushil Srivastava
Head of Business Analysis, Credit & Market Risk Stress Testing

Andrew Johnson
Executive Director, Head of Market Risk Stress Testing & Economic Capital

Anant Saxena
Head of Scenario Design And Methodology
Credit Suisse 

Bertrand Hassani
Group Head of Operational Risk & Non Financial Risk Methodology

Why Should You Attend?

“This will materially strengthen the bank’s analytical capability to assess risks to resilience. Our intention is that stress testing evolves into an essential component of our prudential framework.”

Mark Carney, Governor, Bank of England

After the financial crisis saw many banks severely under-capitalised, regulators are increasingly relying on Stress Tests as a tool for assessing financial institutions capital numbers and their resilience to adverse economic conditions. Regulators are placing increasing pressure on FIs to enhance their internal risk management and help improve overall stability of the financial system.

Stress tests are being used amongst regulators globally; Federal Reserve, Bank of England and EBA; to determine minimum capital requirements to absorb loss in the event of a large shock to the economy. With FIs across Europe looking ahead to the 2015 Bank of England Stress Test and 2016 EBA Tests, pressure is increasing to prove their financial strength and move towards European stability and standardisation.

CFP’s 3rd Annual Stress Testing Europe delivers insights, developments and thought-leadership from more than 20 Heads of Stress Testing from Europe’s leading FIs. Across two days, you will hear thought provoking presentations and discussions addressing key challenges including the future of UK stress tests,  complying to stress test requirements under multiple regulators and jurisdictions, scenario setting, data aggregating, modelling and reporting, reverse stress testing and internal stress testing.

DAY ONE | September 29, 2015

08:30 Registration & Morning Coffee

08:55 Chair’s Opening Remarks 

09:00 Assessing The Future Of Stress Tests And What’s Next

Tim Thompson, Partner, Risk Advisory, Deloitte

09:35 Overcoming Challenges Of Reporting And Submitting Under Different Jurisdictions: What Is Required And How Do They Differ?
  • Stress testing subsidiaries
  • Grasping different global regulatory requirements
  • Aligning internal processes with different global methodologies
  • Supporting a multitude of views
  • Defining stress scenarios and reporting across global regulators
  • Move towards global standardisation
  • Dealing with volume of data required
  • Understanding US CCAR/DFAST process: aligning to a European context

Cecilia Gejke, Director, Risk Management, Mizuho International
Sanghamitra Karra, ED, EMEA Head of Stress Testing and Portfolio Risk, Morgan Stanley
Martijn Groot, VP, Product Management, Asset Control

10:20 Morning Refreshment Break & Networking

 10:50 Using Stress Testing As A Tool For Forward Planning And Driving Business
  • Macro economic forecasting
  • Predicting stress testing horizon
  • Historical understanding of stress scenarios
  • Estimation and expectation of parameters
  • Using parameters within the appropriate range
  • Governance process

Cecilia Gejke, Executve Director, Risk Management, Mizuho International

 11:30 Building A Robust Scenario Expansion Management Framework
  • Background and introduction
  • Scenarios: regulatory and internal
  • Motivation for expansion
  • Expansion framework
    • Approach towards a robust design
    • Input data model
    • Expansion methodologies
    • Output data model
  • Robustness of the framework
  • Case studies/examples

Anshuman Prasad, Global Head of Risk Modelling Analytics, Crisil Global Research & Analytics 

12:10 Developing And Applying Quantitative Models For Integrated Stress Testing
  • The basic building blocks of a stress modelling framework
  • Quantitative methods for scenario generation
  • Peculiarities and pitfalls of stress credit loss modelling
  • Macro prudential effects

Dr. Tobias Menz, PhD, Senior Manager, Deloitte

 12:50 Lunch Break & Networking
13:50 Aligning Risk, Treasury And Finance Departments For Better Interpretation And Regulatory Oversight Of Stress Testing
  • Using internally consistent models across silos
  • Overcoming the lack of experience with stress episodes
  • Understanding the behaviour of variables under stress
  • Modelling structural changes in the world economy
  • Overcoming time constraints to create effective models
  • Understanding the correlation between variables
  • Quantifying stress scenarios

Nancy Masschelein, VP Market Management Risk & Finance, EMEA, Wolters Kluwer Financial Services

14:30 Aligning Economic Capital And Stress Testing Models
  • Using stress testing to validate economic capital models
  • Effective tools for calculating capital requirements
  • How to shock models to effect loss
  • Limited data to align models
  • Historic calibration Vs. economic view
  • Reconciling stress test models
  • Linking with other models
  • Looking at stress testing conceptually

Bertrand Hassani, Group Head of Operational Risk & Non Financial Risks Methodology, Santander

15:10 Afternoon Refreshment Break & Networking

15:40 Ensuring Consistency Of Market Risk Within Capital Adequacy

Andrew Johnson, Executive Director, Head of Market Risk Stress Testing & Economic Capital, UBS

16:20 Reverse Stress Testing As A Tool: Effective Quantification And Process
  • Reverse stress testing: another phase for disaster management
  • Understanding the desired outcome
  • High level of unknowns
  • Understanding risk scenarios not in risk systems
  • How to quantify what’s not captured in risk systems
  • Assessing the effectiveness of reverse stress testing with little data

Stuart Mills, CRO, Premium Credit Limited

17:00 Chair’s Closing Remarks 

17:05 End of Day One & Drinks Reception


DAY TWO | September 30, 2015


08:00 Registration & Morning Coffee

08:55 Chair’s Opening Remarks

09:00 Understanding Regulatory Requirements And Improving Resilience To Change
  • Setting up for changes
  • Establishing ground and processes for implementation
  • Reviewing the effect on profit and loss
  • Using stress testing to be forward thinking
  • Infrastructure for fast implementation
  • Understanding changes

Sanghamitra Karra, ED, EMEA Head of Stress Testing & Portfolio Risk, Morgan Stanley
Richard Pike, Non-Executive Director, Permanent TSB
Matthew Sandoe, Head of Global Risk Analysis & Reporting, Capital Markets & Investment Solutions, BNP Paribas
Sushil Srivastava, Head of Business Analysis, Credit & Market Risk Stress Testing, Barclays
Anthony Pereira, Founder & CEO, Percentile
Alex Frankl, 
Head of Risk, BCS Consulting

09:50 Determining The Right Shock Levels And Scenarios And Responding 
  • Overcoming lack of historical data to create efficient models
  • Vague parameters around shock level
  • Stressing a strategy and applying management action
  • Identifying macro economic variables in distress
  • Infrastructure and processes to respond to shocks
  • Responding to shocks
    • Learning from and anticipating shocks
    • Learning from results
    • Shaping process for effectiveness

Sunil Verma, Director, UBS 

10:30 Morning Refreshment Break 

11:00 Addressing The Challenges Of Validating Stress Testing Models 
  • Recap of stress test modelling landscape
  • Identifying stress testing building blocks
  • Top-down Vs. bottom-up models
  • Reviewing critical assumptions
  • Case study: an econometric approach to modelling the spill-over effects of cross country exposures
  • Model performance: their Vs. practice
  • Lessons learned to beef up a model validation framework

Philipp Andres, Manager, Fintegral Consulting 

11:40 Effectively Complying With Regulatory Reporting Demands To Reconcile Balance Sheets And Data Sensitivities
  • Reporting accurate data
  • Complying to BCBS 239
    • Full balance sheet consistency
    • Front to back control on data
    • Ensuring data is complete and accurate
  • Data cleaning for accurate reporting and analysis
  • Documentation of data architecture
  • Models to deliver mass of data required across global regulators
  • Resilience to change in reporting
  • Using data acquired to identify risk

Rajib Chakravorty, Senior Project Manager, Data Management, HSBC
Ralph Baxter, CEO, ClusterSeven

12:50 Lunch Break & Networking

13:50 Ensuring Granularity Of Data To Comply With Regulatory Imposed Stress Tests
  • Data collection and gathering
  • Data reconciliation
  • Data integrity
  • Familiarisation of new financial and regulatory reporting
  • Implementing an effective infrastructure and architecture to collect the level of granular data required
  • Lack of historical data to reflect scenarios and shocks
  • Developing group wide transparent data systems
  • Ensuring quality and consistency of data across multiple departments and group level

John Fitzgerald, Head of Portfolio Models, AIB
Sanjay Agrawal, Managing Director, CIMCON Software, Inc.

15:00 Developing Internal Stress Testing Process For Effective Internal Risk Management
  • Targeting vulnerabilities and sensitivities specific to institution
  • Producing a more condensed and faster process
  • Ensuring value added
  • Using results specific to institution to be forward looking and better plan for next time
  • Less granular data process required

Anant Saxena, Head of Scenario Design & Methodology, Credit Suisse

15:40 Afternoon Refreshment Break & Networking 

16:10 Best Practice For Stress Testing Operational Risk
  • How to quantify
  • Developing operational risk models
  • Forward looking approach
  • Creating models for capital quantification and capital management

Richard Pike, Non-Executive Director, Permanent TSB

16:50 What BCBS Margin Requirements For Non-Centrally Cleared Derivatives Means For Stress Testing

Chaoxin Zheng, Head of CCR Stress Testing, Credit Suisse

17:30 Chair’s Closing Remarks

17:35 End of Congress

Pre Congress Masterclass: New Techniques To Comply With Regulatory Requirements For Effective Capital Planning | September 28, 2015

Led By:
Alexander Denev, Founder, GraphRisk

Alexander has more than 10 years of experience in Finance in different countries across Europe and is currently of GraphRisk, a company aimed at promoting the use of graphical models in Risk Management and Asset Allocation, and Senior Advisor to Risk Dynamics.
He is currently involved in projects preparing major US and European banks for the CCAR/EBA stress testing exercises.

Alexander led the wholesale modelling team responsible for Stress Testing of The Royal Bank of Scotland until 2014. He was also in charge of EAD/ LGD wholesale modelling teams and other important risk management projects such as the Country Risk Ranking and Early Warning Indicators. Prior to that, he worked in The Royal Bank of Scotland as a Fixed Income Structure leading the Tail Hedging project of the bank. He provided advice and devised hedging products for big institutional clients (Pension Funds and Insurance Companies). Before joining RBS, Alexander was in charge of the Basel II/III implementation project for the European Investment Bank (EIB) and European Investment Fund (EIF). He was also leading the stress testing exercises both for the EIB and the EIF. He participated in the engineering of both the EFSF (European Financial Stability Facility) and the ESM (European Stability Mechanism). Prior to that, he covered different specialist and managerial positions in risk management departments in different large international groups such as National Bank of Greece, Societe Generale and BNP Paribas.

Alexander holds degrees in Mathematical Finance (University of Oxford). He also holds a BSc & MSc in Engineering Physics (University of Rome). He is author of papers in Finance on topics ranging from Stress Testing to Asset Allocation.


Stress Testing has become a hot topic since the onset of the financial crisis in 2008-2009 when risk measures such as VaR proved to have major drawbacks in capturing the probability of extreme events. Since then central banks and regulators have issued copious guidance for how to conduct stress tests in financial institutions with the aim of complementing the traditional risk measures. This Masterclass will offer a new technique of how to design forward-looking scenarios to satisfy both the regulatory requirements and the new internal need for a better capital planning.

Stress Testing- Some Background
  1. How it works in practice in financial institutions today
  2. What the current widespread modelling techniques can deliver and what they cannot
    • Do models work when most needed and what we can do
    • Structural breaks, non-linearities and outliers
Scenario Analysis
  1. The need for an integrated view of risks
  2. Scenario Analysis
    • What to monitor and how to specify a scenario
    • Steps of building a scenario in a forward-looking perspective
  3. Managing a stress scenario
    • Capital Planning
    • Setting limits and pricing
    • Hedging
    • Putting the right governance and controls in place
A New Way Of Thinking

One of the recurrent suggestions found in many regulatory prescriptions is to make use of more expert judgement to formulate forward-looking scenarios that are not based purely on historical data. Despite this, there are almost no organisations who managed to implement this requirement in a sound and credible way. Regulations, on the other hand, also seem to shy away from giving any concrete practical advice. This part will introduce a new technique to build stress scenarios based on recent breakthroughs in the area.

  1. What historical data cannot teach us
  2. Introduction to graphical models
    • Why they are a very simple tool to create forward looking and coherent scenarios
    • Properties and simplifications
    • Calibration of graphical models: historical, subjective and market implied information
    • Examples of building simple stress testing models

Sanjay Agrawal
Managing Director
CIMCON Software, Inc.

Sanjay is a co-founder of CIMCON Software and has led the company from initial start-up stage to become a market leader in Spreadsheet Governance, Risk and Compliance (GRC) and End User Computing with the largest installed global client base of Fortune 500 clients in over 30 countries. Under his leadership, CIMCON has played a pioneering tool in developing and advancing the end user computing (EUC) market over the last 18 years, and in developing many innovative tools and technologies. He is responsible for the strategic direction of the company and advocating best practices to reduce spreadsheet model risk through a though leadership portal that informs and educates with the latest trends and thinking on this topic.

Sanjay has over 20 years of experience in risk management, data governance, and compliance. Prior to CIMCON, he helped Fortune 500 firms develop corporate-wide risk management plans for large-scale data management systems and implement appropriate controls. Sanjay has a Master’s degree in engineering from the University of Massachusetts, Amherst.

Philipp Andres
Fintegral Consulting

Philipp is a Manager of the Fintegral Consulting UK practice with focus on credit and concentration risk. Currently Philipp is heavily involved in client work related to credit counterparty exposure modeling and also has extensive experience with credit portfolio models, stress testing and LGD modeling. He holds a PhD in financial econometrics and published articles in peer reviewed journals on ultra-high frequency volatility measurement and jump robust volatility modeling. During his studies he implemented a volatility trading strategy for a start up hedge fund using signal extraction techniques.

Ralph Baxter

Ralph is responsible for corporate vision and projecting best practice in end user computing (EUC) within the business and advisor community. He pioneered ClusterSeven’s thought leadership in this technology sector. He brings an insider’s view of governance and compliance issues as a former committee member of ISSIG, the information security section of the Institute of Internal Auditors (IIA).

Ralph’s career has spanned 30 years in the technology and energy sectors, beginning with BP in the Far East. Ralph ran the external IT business and eCommerce of Lattice group, (formerly part of BG Group and British Gas). He was also part of the founding team at Kirkland (now Dragon Oil). He holds a First Class degree in Natural Sciences from Churchill College, Cambridge University.

Rajib Chakravorty
Senior Project Manager, Data Management

Rajib is a results-focused and self-motivated Senior Risk Manager with a high degree of expertise in data management and Risk Management solutions along with commercial acumen and technical flair, demonstrated by an outstanding career record to date. Possesses extensive experience in Risk Management along with Functional specifications and Modelling skills and is able to offer a track record of delivering high quality complex solutions within demanding cost and timescale constraints. An exceptional communicator with a dynamic self-starter approach. Over 20 plus years of experience in Financial Services Business, BI, Analytics, Project Management, Implementation, Design, Development of Data Warehouses. Developed OFSAA Reveleus Basel II Solution Framework, Credit Risk and Transfer Pricing Solutions which have become an accepted solution globally for large Tier 1 banks like Citi, Lloyds, TSB, Wells Fargo etc.

John Fitzgerald
Head of Portfolio Models

John Fitzgerald is Head of Portfolio Models at Allied Irish Banks (AIB), responsible for areas diverse as stress testing models, debt resolution analysis and loss forecasting (with IFRS 9 to come), as well as IRB model performance tracking and independent model validation.

In all John has 16 years experience in the financial services industry, the last 11 of these risk measurement and modelling.

John has degrees in Mathematics from the National University of Ireland (Galway) and the University of Oxford.

Alex Frankl
Head of Risk
BCS Consulting

Alex leads BCS Consulting’s Risk Group and has delivered consulting engagements for a range of Financial Services clients. Recently Alex has been leading the company’s Enterprise Stress Testing & Scenario Analysis proposition, and has held major roles in stress testing programmes at two of the eight FDSF banks. In addition, Alex Programme managed the 2014 Bank of England Stress Test, on behalf of one of his clients.

Cecilia Gejke
Head of Stress Testing
Mizuho International

Cecilia has a background in Material Physics and renewable energy sources before joining the world of finance. Cecilia spent many years in institutions like Bear Sterns and JP Morgan prior to joining current Mizuho. She has a broad experience across the various Risk disciplines including Credit, Market and Liquidity, and in particular around Stress Testing and Scenario Analysis

Martijn Groot
VP, Product Management
Asset Control

Martijn Groot oversees Product Management, steering the company’s strategy for innovation and directing product investment and communications. Martijn has unrivalled financial and risk data experience, as well as extensive knowledge of Asset Control’s customers, having held Market Strategy and Business Development roles here prior to rejoining the company in 2015.

A published author, with an MBA from INSEAD, Martijn’s career history spans a variety of areas, including software development, financial analytics, risk, product and consultancy, at firms such as ABN AMRO, Euroclear and IGATE.

Bertrand Hassani
Group Head of Operational Risk & Non Financial Risks Methodology

Bertrand has a BA in management and accounting, Masters in Economics and Finance and a PhD in Applied Mathematics, he is a specialist in Basel II/III capital modelling (Credit, Market, Operational, Liquidity, Counterparty etc.) for SIFI’s/ He is also an active associate researcher at Paris Pantheon-Sorbonne University. He wrote several articles dealing with Risk Measures, Risk Modelling, and Risk Management. He is currently studying for the D.S.c degree (Eurocorporate), four in the banking industry in a Risk Management/Modelling Department (BPCE) and one year as a Consultant (Aon-AGRC). He is now the Group Head of Operational Risk Methodology at Banco Santander.

Andrew Johnson
Executive Director, Head of Market Risk Stress Testing & Economic Capital

Andrew is responsible for the Group’s Market Risk Stress Testing, scenario development and regulatory stress testing as well as Group Reverse-Stress. Immediately prior to joining UBS in 2010, Drew led a team in the Markets area of the Bank of England during the financial crisis, managing financial risks to the Bank’s own balance sheet. Earlier roles included project management, payment system oversight and IT security. Drew joined the Bank of England in 1997 with an MPhys in Physics and later took an MSc in Information Security.

Market risk scenarios are developed for use across UBS Group to estimate P&L and Counterparty Exposure under stress across both the trading book and banking book. Results are monitored against limits and, along with stressed RWA measures, used as a component of capital adequacy stress testing. Drew’s team is responsible for the market risk elements of both management and regulatory stress tests in the various jurisdictions UBS operates in as well as developing the infrastructure to execute those scenarios. Drew has a further responsibility for Group Reverse Stress, which considers routes by which the firm’s business model may be rendered unviable

Sanghamitra Karra
ED, EMEA Head of Stress Testing & Portfolio Risk
Morgan Stanley

Sanghamitra is the Head of the EMEA Stress Testing and Portfolio Analysis Group at Morgan Stanley focusing mainly on Enterprise Wide Stress Testing framework. Prior to this she has worked as a EMEA Head of Market Risk Methodology Group at Morgan Stanley. Sanghamitra holds a Masters in Statistics and is a PRM holder.

Nancy Masschelein
VP, Market Management Risk & Finance, EMEA
Wolters Kluwer Financial Services

As Market Manager for risk, finance and IFRS, Nancy Masschelein applies the knowledge gained from more than 10 years of experience working in the Financial Services industry, to help contribute to the strategic direction of Wolters Kluwer Financial Services’ solutions. Nancy joined Wolters Kluwer Financial Services in 2008, having worked for the National Bank of Belgium for over seven years as a financial researcher in its financial stability department. Alongside her role at the National Bank of Belgium, Nancy also worked as a consultant at the European Central Bank in 2005/6.

Tobias Menz
PhD, Senior Manager

Tobias specialises in risk methodology with a focus on quantitative models for credit risk, economic capital and stress testing. Tobias has led numerous projects in the area of stress testing, covering a broad range of challenges around the design and implementation of stress models in the context of various regulatory initiatives, designing financial models for aggregation f results, setting up operating models and embedding stress testing as a core risk management instrument in the bank

Stuart Mills
Premium Credit Limited

Stuart joined Premium Credit in July 2015 having previously worked at RBS as Head of Scenario Analysis and Major Risk, Group Operational Risk since 2011.
Prior to that, Stuart spent 6 years at Barclays working in a number of roles in Group Risk, Global Operations and Property.

Stuart holds a Degree in Economics and is a Certified FRM.

Anthony Pereira
Founder & CEO

Anthony Pereira is Founder & CEO of Percentile, providers of high-performance technology for risk aggregation and stress testing in financial services for both internal and regulatory requirements. Percentile is working with firms on both the sell-side and buy-side to tackle their siloed risk management environment often riddled with spreadsheets and manual processes, to experience ultimate flexibility n firm-wide risk management and analysis.

His professional career spans almost 20 years in various sectors of technology. Immediately before founding Percentile, the previous 12 years were spent revolutionising capital markets risk technology. As Global Head of Risk Technology at KBC Financial Products he pioneered the development of the firm-wide risk computation and analytics platform that transformed the abilities of the global risk management function. Following that he was Head of Front Office Technology with responsibility for all trading systems across credit, equity and fund derivatives at KBC Investments, as well as risk technology.

Anthony holds a Masters degree in Computing from imperial College, and lives in London.

Richard Pike
Non-Executive Director
Permanent TSB

Richard has extensive experience of working with financial institutions throughout the world, assisting companies in managing enterprise risk more efficiently while addressing local regulatory guidelines and standards. He is currently an Independent Non Executive Director at PermanentTSB Bank plc. and has previously worked in various senior banking, insurance, credit and market risk roles at Wolters Kluwer Financial Services, ABN AMRO, Bain, COMIT Gruppe and Quay Financial Software. He has analysed, designed and managed the development of core treasury and enterprise risk management systems for large financial institutions, including UBS, Citibank, Schroders and Unicredito. In 2009, Richard was recognised as a “Top 50” Face of Operational Risk by Op Risk & Compliance magazine and was a contributing author to two books on risk management. He is also a board member of the Governance, Risk and Compliance Technology Centre which focuses on research in the area of financial services governance, risk and compliance. Richard has also received the designation of ‘Certified Bank Director’ by the Institute of Banking.

Anshuman Prasad
Global Head of Risk Modeling and Analytics
CRISIL Global Research and Analytics

Anshuman Prasad is based in London and is the Global Head of Risk Modeling and Analytics at CRISIL GR&A. Anshuman heads a global team of quant modellers focussed on stress testing, market, credit and counterparty risk modelling assignments.

Anshuman has more than 11 years of industry experience in risk, derivatives and quantitative analytics and holds a Masters in Engineering from UC Berkeley and an M.B.A. in Finance from the Indian School of Business. He is a speaker at global risk conferences on topics such as Stress Testing, Model Risk and Market Risk.

His professional career spans almost 20 years in various sectors of technology. Immediately before founding Percentile, the previous 12 years were spent revolutionising capital markets risk technology. As Global Head of Risk Technology at KBC Financial Products he pioneered the development of the firm-wide risk computation and analytics platform that transformed the abilities of the global risk management function. Following that he was Head of Front Office Technology with responsibility for all trading systems across credit, equity and fund derivatives at KBC Investments, as well as risk technology.

Anthony holds a Masters degree in Computing from imperial College, and lives in London.

Matthew Sandoe
Head of Global Risk Analysis & Reporting- Capital Markets & Investment Solutions
BNP Paribas

Matt has been working within capital markets since 1996 in both New York and London. His main experience (and current role) is the management of three highly connected risk frameworks: A) Risk Analysis and Reporting, B) Stress Testing and C) Internal Model Capital. His scope is primarily on market and counterparty risk. He has lead all of the EBA Stress Test programs for Capital market Risks, delivered the Basel III Stress Testing certification and is now involved on the CCAR platform for BNP Paribas’ Intermediate Holding Company in North America. He is also responsible for delivering Enterprise Risk Management information for the BNP Paribas Board and executive committees.

Anant Saxena
Head of Scenario Design & Methodology
Credit Suisse

Anant is Lead of designing firm-wide macro scenarios and presenting them to CS senior management across Risk and Front Office. This would include scenarios related to macro events, policy risks and crowded trades. Also globally responsible for designing the modelling framework to support scenario analysis which helps translate macroeconomics into financial impacts.

These scenarios form backbone of firm’s BoD Risk Appetite statement, as well as used by CS global regulators (FINMA, PRA, Fed) to assess financial stability of the firm.

Sushil Srivastava
Head of Business Analysis, Credit & Market Risk Stress Testing

Sushil Srivastava will be presenting at Stress Testing Europe, 2015.

Tim Thompson
Partner, Risk Advisory

Tim joined Deloitte in 2009 having previously worked at LBG and Barclays as Director of Risk Analytics and Modelling. He specialises in quantitative risk services, including risk modelling (Credit, Market, Operational), risk adjusted applications (Stress Testing, Economic Capital and Risk Appetite), complex derivative valuations and risk process reviews. He has led multiple projects relating to stress testing, economic capital, risk appetite and remuneration across a range of clients.

Tim holds a Masters degree in Chemistry and a PhD in Chemistry and Nuclear Physics.

Sunil Verma

Sunil currently works at UBS as a Director in Stress Testing Methodology Team. He has been primarily involved in quantitative risk measurement approaches such as Basel II & III modelling and stress testing. His key areas of involvement have been trading and wholesale books. He has been working on both credit risk and market risk methodologies.

Ian Wilson
Partner, Risk Advisory

Ian specialises in Credit Risk Measurement, leading a team of quantitative risk measurement and modelling specialists. Ian has strong experience in the development of economic capital and stress testing frameworks for wholesale and retail credit risk.

Ian’s work has focused on supporting clients develop their stress testing capabilities, capital and impairment calculations, model governance, IRB systems, and validation processes to meet regulatory requirements. His experience includes leading the delivery of bespoke stress testing models across Retail, Commercial and Treasury books for a major UK bank as part of its ICAAP. Additionally Ian has led the development of Deloitte’s IFRS9 collective provisioning approach and been involved in supporting the collective provisioning component of the European Central Bank’s Asset Quality Review exercise in Europe.

Chaoxin Zheng
Head of CCR Stress Testing
Credit Suisse

Chaozin Zheng will be presenting on What BCBS Margin Requirements For Non-Centrally Cleared Derivatives Means For Stress Testing at CFP’s 4th Annual Stress Testing Europe.

26th August 2015

Understanding Regulatory Requirements And Improving Resilience To Change

28th July 2015
Martijn Groot

Stress Testing – The Challenges of Reporting and Submitting Under Different jurisdictions

27th July 2015
Robert chan

Understanding The Gains And Losses For Institutions On The Verge Of Crossover and Building An Effective Governance, Control And Challenge Process

27th July 2015
Ty Lambert

Macroeconomic Stress Testing Lessons Learned From Bancorpsouth’s Strategy and Implementaion

15th July 2015

Analysing Stress testing Results and Preparing For Next Time

CFP Interviews Alex Frankl, Head of Risk, BCS Consulting 1) Please tell us a little bit about yourself, your role and your experience. I’m a financial […]
15th July 2015

Stress Testing Scenarios

The modern scientific method is based upon assumptions and models, we make an assumption, test it’s efficacy and when proven we build on that with further […]
15th July 2015

Stress Testing Data

CFP Interviews Rajib Chakravorty, Senior Project Manager, Data Management, HSBC 1. Rajib, please tell us a little about yourself and your background A results-focused and self-motivated […]
15th July 2015

Integrated Stress Testing

15th July 2015

CFP Stress Testing Industry Research

During the intensive research for Stress Testing Europe, the Centre for Financial Professionals gained an insight from thought leading industry professionals across Europe as to the […]
15th July 2015

Reinforcing Market Confidence with Consistent Stress Testing

By Wolters Kulwer Financial Services For some time now, financial institutions have been criticized for failing to fully identify and manage the risks that they have […]
15th July 2015

Model Risk Management for Stress Test

By CIMCO Since the financial crisis of 2007-09, regulators and banks have been using stress testing as a means of evaluating and ensuring sufficient capital in […]
15th July 2015

Minimizing Data And Modeling Challenges To Maximize The Effectiveness Of Stress Testing For Strategy And Business Beyond CCAR And DFAST

In the 2014 CCAR results, the Federal Reserve rejected the plans of five of the 30 participating bank holding companies participating. The Comprehensive Capital Analysis and […]
15th July 2015

Getting The Best Return From Your CCAR Investment

CFP interview H. Walter Young, Chief Of Data & Analytics, CCAR Office at M&T Bank, Getting The Best Return From Your CCAR Investment Ahead of North […]
15th July 2015

Implementing a Stress Testing Process – Key Issues and Challenges By Charles Richard QRM

“Stress Testing has always been a focus for QRM going back to our founding in 1987. Today this concept has evolved to cross the traditional pillars […]
2nd December 2014

Stress Testing: A Below the $50bn Perspective

David Belmont, Chief Risk Officer, Commonfund will be one of many Senior Risk Professionals presenting at CFP’s 3rd Annual Enterprise Risk Management. CFP recently interviewed David […]

Sponsors and Media Partners

Principal Partner


Principal Partner

Deloitte’s global footprint and proven track record with clients across all elements of stress testing allow us to help firms meet the challenge of developing an industry leading stress testing framework by:

  • Providing insight and experience of regulatory requirements and peer best practice across the globe to benchmark organisations’ current state and help define the target state for their stress testing framework.
  • Supporting remediation activities and short term tactical goals by utilising a combination of established Deloitte tools and designing bespoke solutions.
  • Working in partnership with organisations to develop a strategic roadmap to meet future requirements for stress testing and ensuring it is embedded in the organisaton as a core risk management tool linked to strategy and risk appetite.
    Providing specialised resources with demonstrated experience in the market across all areas of stress testing, including: risk modelling; data management and analytics; governance and process design; risk appetite; and capital management.

Find out more here

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Gold Sponsor

+44(0) 20 7648 2050

BCS Consulting is a leading provider of consultancy services to the UK financial services industry. We work exclusively with Capital Markets, Retail Banking and & Corporate Banking clients, including some of the world’s leading financial institutions. We bring a unique combination of industry expertise, innovative solutions and technical know-how to every new challenge we face.

We have a proven track record of helping our clients’ Finance & Risk functions deal with a range of issues, including; operational & conduct risk, stress testing & scenario analysis, Risk & Finance alignment and MI transformation.

For more information, please visit


Gold Sponsor

CIMCON’s spreadsheet management tools reduce model risk and provide sound model risk management for stress testing to meet regulatory requirements and improve model quality. The CIMCON tools reduce risk by providing a visual and clear understanding of your model, quickly identifying errors and areas of concern, and delivering proper controls and reporting to meet regulatory expectations, all with minimal end user impact. Comprehensive tools provide inventory, risk assessment and data lineage, data analysis, and controls/monitoring. CIMCON tools have helped over 325 firms including some of the world’s largest banks, insurers and financial services companies manage spreadsheet model risk.

Visit Our Webpage Here


Gold Sponsor

+44 (0) 207 148 6270

ClusterSeven provides end-to-end model risk management for those firms where financial modelling is conducted across a range of technology platforms, particularly where these include a high usage of end user computing components such as spreadsheets.

Our clients use our solutions to:

  • Reduce the risk of financial modelling and spreadsheet operations
  • Reduce the costs of model and spreadsheet maintenance
  • Provide transparency of modelling processes for business and technology transformations
  • Capture data derived from models and spreadsheets for reliable re-use such as reconciliations
  • Demonstrate appropriate controls to meet the demands of regulators for better model risk, data and end user computing management (e.g. SOX, Basel II/III, Solvency II, OCC Supervisory Guidance on Model Risk Management).

ClusterSeven’s clients are drawn from across the financial world and include one third of the top 30 global banks plus many leading names in investment management, insurance and energy services. ClusterSeven was founded in 2003 and established a New York office in 2006.

For further information click here

CRISIL Global Research & Analytics

Gold Sponsor

+44 080-003-14200

CRISIL Global Research & Analytics (GR&A) is the world’s largest and top-ranked provider of high-end research and analytics services. We are the world’s largest provider of equity and credit research services. We are also the foremost provider of end-to-end risk and analytics services to trading and risk management functions at world’s leading financial institutions and corporations. We offer corporate strategy, competitive intelligence and key account management support to corporations globally. We operate from research centers in Argentina, China, India and Poland, working with our clients across several time zones and in multiple languages. We are proud to be an organization that has the vision to proactively invest in its people and get them future-ready. We are committed to delivering cutting-edge analysis, opinions, and solutions. This underscores our proposition of “Making Markets Function Better”.

For further information click here


Gold Sponsor

+41 44 552 11 00

Fintegral Consulting is an international firm focusing on risk and capital management. We are composed of experienced quants from all over Europe, with degrees in a range of quantitative subjects from physics to economics; along with former big four partners.

We support large financial institutions in London, Zurich, New York, Frankfurt and other financial hubs in overcoming quantitative and regulatory challenges in banking, insurance or asset management.

Our consultants bring to the table the methodological competence and implementation experience to make sure that a solution is not only theoretically sound, but is also pragmatic and workable.

Our solutions range from credit portfolio models and stress testing to ratings models; from model design to validation and governance.

Our methodology deliverables contain workable tools that our clients can use to produce real and relevant results. Some of our senior staff have also been engaged in several regulatory developments such as Basel II or Solvency II working groups.

For further information click here


Gold Sponsor

+44 (0)20 374 55595

Percentile Limited, are London based specialists in Risk Technology for risk management and regulatory compliance to the financial markets. Percentile’s flagship product, RiskMine, provides an aggregated view of firm-wide risk exposures coupled with sophisticated scenario generation and distributed pricing capabilities. It is designed to be modular and scalable to address current and future regulatory requirements by systematic evolution and powerful tools. Devised to address the challenges faced by risk managers, Percentile’s technology is easy to integrate into any existing systems, boosting the performance of risk calculations and providing consistent, centralised and aggregated risk exposures.

For further information click here

Wolters Kluwer FInancial Services

Gold Sponsor


Wolters Kluwer Financial Services provides customers worldwide with risk management, compliance, finance and audit solutions that help them successfully navigate regulatory complexity, optimize risk and financial performance, and manage data to support critical decisions. With more than 30 offices in 20 countries, our prominent brands include: AppOne®, AuthenticWeb™, Bankers Systems®, Capital Changes, CASH Suite™, GainsKeeper®, NILS®, OneSumX®, TeamMate®, Uniform Forms™, VMP® Mortgage Solutions and Wiz®. Wolters Kluwer Financial Services is part of Wolters Kluwer, which had 2014 annual revenues of €3.7 billion ($4.9 billion), employs 19,000 employees worldwide, and maintains operations in over 40 countries across Europe, North America, Asia Pacific, and Latin America. Wolters Kluwer is headquartered in Alphen aan den Rijn, the Netherlands. Its shares are quoted on Euronext Amsterdam (WKL) and are included in the AEX and Euronext 100 indices.

For further information click here

Media Partners

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Registration Rates EARLY BIRD
By September 11
After September 11
Stress Testing Europe 2015
London, September 29-30, 2015
Save £400
Scenario Analysis Masterclass
London, September 28, 2015
Save £100
Stress Testing Europe + Scenario Analysis Masterclass
London, September 28-30, 2015
Save £500

All rates subject to UK VAT of 20%

If you would like to register more than 3 people please contact the CFP team on +1 888 677 7007 / +44 (0)207 164 6582 or

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The Tower Hotel
St Katherine’s Way
London, E1W 1LD

Nestled between the River Thames and St Katharine’s Dock and alongside two world Heritage Sites – Tower Bridge and the Tower of London, the Tower Hotel is within easy reach of the financial district, Canary Wharf, the Excel Centre, London City Airport, historic Greenwich, the West End and Westfield Shopping Centre – making it the most sought after location in London.

Directions to The Tower Hotel, London
To reach The Tower Hotel by road…

The Tower Hotel is just to the east of Tower Bridge, on the north side of the River Thames. At the traffic lights on the junction of Tower Hill, Tower Bridge Approach, East Smithfield and Mansell Street, turn into St Katherine’s Way: The Tower Hotel is at the far end. To programme your sat-nav, use the postcode E1W 1LD

We have 80 on-site car parking spaces available at an additional charge of £20.00 per 24 hours. Spaces are on a first come first served basis and cannot be reserved.

If you’re coming to The Tower Hotel by rail…

Mainline rail: Fenchurch Street station is 0.5 miles away

London Underground: Take the District or Circle line to Tower Hill station. Leave the station via the entrance on the left, go down the steps and through the subway. Turn left and walk past the Tower of London. Another subway takes you under the next road, then simply follow signs for The Tower Hotel.

London Bridge Tube and rail stations are just a short walk away over Tower Bridge.

Preferential Room Rates At The Tower Hotel

CFP have reserved a preferential rate for attendee’s of Stress Testing Europe 2015 of £220 per night.
Reservations can be made via phone of email.
Please be sure to quote CFPE290915 at the time of booking. Please note that this rate expires 31/08/15

Phone: +44 (0) 871 376 9036 (Option 2)

To reach The Tower Hotel from the airport…

If you’re flying into London City airport, The Tower Hotel is six miles away: take the Docklands Light Railway (DLR) to Tower Gateway station, which is about seven minutes’ walk from the hotel.

From London Heathrow, we recommend the Heathrow Express: this runs direct from the airport to London Paddington in just 15 minutes (20 from Terminal 5) and there’s a train every quarter of an hour. The Gatwick Express runs a similar service into Victoria. From either terminus, you can take the Underground (Circle Line) to Tower Hill: The Tower Hotel is less than 7 minutes’ walk away.

Tower Hotel 1
Tower Hotel 2
Tower Hotel 3
Tower Hotel 3

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Gold Sponsors

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Wolters Kluwer