3rd Annual Stress Testing & Scenario Analysis

Perfecting stress tests and embedding results into future strategy

Singapore 20th & 21st February 2012

Establish a solid framework for stress testing models, interpreting results and mitigating risk in an unforgiving environment
Recent economic developments seem to suggest that stress and scenario testing is not as robust or accurate as they should be, throwing light upon the design and implementation of the process. This timely marcus evans conference will aim to provide a platform for the discussion and advancement of stress testing and scenario analysis strategies and techniques from leading industry practitioners engaged in the mitigation and management of risk within their own financial institutions.

Attending this premier marcus evans event will enable you to:
Understand clearly the stress test expectations of Basel III Learn from the lessons of Europes stress test results and aftermath Establish a framework for stress testing and scenario analysis Effectively stress test market, liquidity and credit risks Translate your stress test results to an appropriate action plan and strategy

Featuring expert presentations from:

Laurie Mayers Manager - Capital Management Team, Risk Specialists Division Financial Services Authority, UK Luo Ping Director General Chinese Banking Regulatory Commission Dr. Volf Frishling Head of Market Risk Quantitative Support National Australia Bank, Australia Torsten Kleine Buening Head of Group Economic Capital and Risk Strategy Emirates NBD, UAE Dr. James Hua Managing Director Regional Head of Market Risk Citi, Hong Kong John Botley Global Head of Finance HSBC, Hong Kong Chandresh Shah Chief Risk Officer Aviva, Singapore Anshu Bhadauri Senior Manager, Market Risk Asia ANZ, Singapore Michael Kjellin Risk Management Specialist Asian Development Bank, Philippines Sanmoy Chakrabarti Head of Market Risk HDFC Bank, India John Roumeliotis Head of Credit Model Development National Australia Bank, Australia Mrinmoy Das Market Risk Nomura, Singapore Rajesh Malghani Vice-President for Credit Risk ING Vysya Bank, India Pardi Sudrajat Risk Advisor Bank Mandiri, Indonesia Vinay D'Costa Capital and Performance Management ICICI Bank, India Peter Yue Deputy Head Liquidity Risk Management APAC, Treasury Deutsche Bank, Singapore

Learn from key practical sessions:

Financial Services Authority, UK delivers a regulatory perspective on stress testing HSBC explores the transition to Basel III compliance National Australia Bank discusses best practice methodologies and techniques on stress testing framework Emirates NBD aligns stress testing to a capital planning framework Bank Mandiri translates stress test results into strategy

*Early Bird & Group Discounts Ask about our savings

Rehan Qudratullah Regional Head of Market Risk, South East Asia Standard Chartered, Singapore

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Day 1

Booking Line
Tel: +603 2723 6611 Fax: +603 2723 6622

Monday 20th February 2012

08.30 Registration and morning coffee 09.00 Chairmans opening remarks

Perspectives on regulation
09.15 A regulatory perspective to developing best practice standards for stress testing What are the FSA expectations of firms for assessing overall capital adequacy under Basel III? Assessing the viability of a financial institution's capital plan through firm wide stress testing and Basel III The FSAs stress testing framework Laurie Mayers Manager Capital Management Team, Risk Specialists Division Financial Services Authority UK 10.00 Global bank perspective: Explore the developing regulatory requirements and ensure a smooth transition towards Basel III compliance Analyse the different regulatory guidelines across the fragmented jurisdictions of the APAC region Key assumptions, internal infrastructure and transmission process Successfully incorporate Basel III capital adequacy principles and guidelines to stress tests Overcoming the challenges involved in the migration from Basel II to Basel III What are the new risk reporting requirements for stress testing under Basel III? Luo Ping Director General Chinese Banking Regulatory Commission 10.45 Morning coffee and networking break

14.00 Ensure an effective implementation of your stress testing framework in practice What are the critical steps in framework development? Analyse and design an ideal approach to stress testing and scenario analysis Identifying appropriate scenarios and building repeatable processes Effective methodologies to aggregate, report and review results Peter Yue Deputy Head Liquidity Risk Management APAC, Treasury Deutsche Bank 14.45 Developing and implementing stress testing in alignment with your capital planning framework Assess the impact of stress testing on capital allocation policies Examine capital costs since the last financial crisis Integrate balance sheet, revenue and capitalisation into your framework Explore the relationship between economic and regulatory capital Torsten Kleine Buening Head of Group Economic Capital & Risk Strategy Emirates NBD 15.30 Afternoon tea and networking break 16.00 Panel discussion Best practice methodologies in reverse stress testing Explore the different regulatory requirements for reverse stress testing across the APAC region Determine the selection of scenarios How do we make reverse stress testing more practical? Torsten Kleine Buening Head of Group Economic Capital and Risk Strategy Emirates NBD

Stress/scenario selection and analysis

11.15 Regional bank perspective: Basel III compliance from an Indian perspective An outlook on the interaction between Basel III and stress testing Reconcile each aspect of compliance under different Pillars in Basel III How do banks in India adapt to Basel III regulatory requirements? Vinay D'Costa Capital and Performance Management ICICI Bank 16.45 Establishing realistic and appropriate risk parameters for stress testing How do we define and determine risk parameters? Key assumptions and considerations in determining these parameters Ensure realistic parameters are set for meaningful stress testing Speaker to be confirmed 17.30 Achieving a balance in accuracy and precision stress testing A supplement to statistical risk management tools Risk capital allocation calculation in stress testing Use of VaR and its pros and cons Dr. James Hua Managing Director Regional Head of Market Risk Citi 18.15 Chairmans closing remarks and close of day one

Stress testing design & framework

12.00 Best practice techniques and methodologies of designing a stress testing scenario analysis framework Qualitative and quantitative techniques Developing firmer and stricter risk models Ensuring relevant alignment of stress tests to your products and services Designing stress testing in-house versus outsourcing Dr. Volf Frishling Head, Quantitative Support, Market Risk National Australia Bank, Australia 12.45 Lunch

Business Opportunities
A limited amount of sponsorship opportunities are available for this conference. These include, but are not limited to opportunity to present case studies, exhibit, host networking functions, and benefit from the extensive branding and marketing exposure generated throughout the lifecycle of the event. For further details, please use the contact information given on the last page of this brochure.

Day 2

Booking Line
Tel: +603 2723 6611 Fax: +603 2723 6622

Tuesday 21st February 2012

08.30 Registration and morning coffee 09.00 Chairmans opening remarks

Stress testing across different risk categories

12.00 Developing an all-rounded approach: Practical techniques in risk management Creating links and interaction between market, liquidity, credit and counterparty risks Implementing a groupwide stress testing framework Assessing risks versus rewards Integrated credit-market-counterparty-liquidity stress testing through a linked model Rehan Qudratullah Regional Head of Market Risk, South East Asia Standard Chartered 12.45 Lunch 14.00 Designing a comprehensive liquidity stress test for all regimes Assess the challenges of liquidity management within the Asian context Address the misconceptions and common error of understanding liquidity stress testing Ensure compliance to different jurisdictions and capital regimes Examine the probability and impact of liquidity shortfalls Compliance to Basel III requirements Sanmoy Chakrabarti Head of Market Risk HDFC Bank 14.45 Stress testing - prospective from credit risk and its implementation Rajesh Malghani Vice-President for Credit Risk ING Vysya 15.30 Afternoon tea and networking break 16.00 CVA counter-party risk and the trading book Modelling of CVA Overcoming the challenges of stress test implementation in reality Explore best practice methodologies of counter-party stress testing Assess the combination and design of scenarios futuristic, forwardlooking or historic? Anshu Bhadauri Senior Manager, Market Risk Asia ANZ Exploring the concept of black swans The deception of perception Types of randomness ad scalability Confirmation bias and narrative fallacy Mrinmoy Das Market Risk Nomura

A practical approach to stress testing

09.15 A practical approach to integrating stress testing into your system Global leverages across the banking sector including government and central banks Importance of liquidity given the current economic climate in global markets Make stress testing an effective tool? What are the practical difficulties in implementing stress testing tool and relating to practical stress scenarios Striking a balance between being stringent and practical New regulation in Basel Chandresh Shah Chief Risk Officer Aviva

Acting on stress testing results

10.00 Embedding strategy: Translate your stress test results into an action plan Acting on stress tests: Lessons learnt Running and implementing simulations Effectively communicating to the board and senior management on stress test results Go beyond the tick-the-box mentality Development of a viable risk strategy in response to stress testing results: Future strategy and organisation Pardi Sudrajat Risk Advisor Bank Mandiri 10.45 Morning coffee and networking break

Stress testing within the APAC context

11.15 Panel discussion Brainstorming realistic APAC scenarios for stress tests APAC specific scenarios Role of the China market in APAC: How do we generate scenarios for testing Turning qualitative situations into quantitative scenarios Integrating APAC market risk assumptions into our stress tests Dr. James Hua Managing Director Regional Head of Market Risk Citi

16.45

The Monetary Authority of Singapore (MAS) administers Financial Training Scheme (FTS) grants to financial sector organisations that sponsor eligible Singapore based participants to training programmes that meet qualifying criteria. For more details, please visit www.mas.gov.sg, or contact the MAS at 6229-9396 or fsdf@mas.gov.sg

17.30 Chairmans closing remarks and close of conference

marcus evans would like to thank everyone who has helped with the research and organisation of this event, particularly the speakers and their staff for their support and commitment.

marcus evans reserves the right to change the venue of, or speakers at the conference should circumstances require. marcus evans

Post Conference Workshop

Booking Line
Tel: +603 2723 6611 Fax: +603 2723 6622

Wednesday 22nd February 2012

Half day interactive post conference workshop
09.00 Registration and morning coffee 09.30 Workshop leaders opening remarks 09.45 This workshop will enable participants to learn more about ICAAP and its application in stress testing Topics covered include: A discussion on ICAAP as a regulatory application of stress testing Best practice procedures on achieving the required level of internal capital What are the conditions that are required across the different jurisdictions in APAC? Regulatory application of stress testing Outlook of the financial markets in the near future 12.30 Workshop leaders closing remarks Workshop leader to be appointed

Why you cannot miss this event

The importance of stress testing as a core component of risk management has been emphasised in the updated capital adequacy requirements and those involved in the finance industry are looking to improve their techniques and comprehensiveness of these tests as the finance industry gears up towards the migration to Basel III. Moreover, recent events seem to suggest that stress and scenario testing is not as robust and accurate as they should be, throwing light upon the design and implementation of the process and how stringent they should be. The design of a stress testing scenario analysis framework is fundamental to the whole subject and there are different approaches. In the fragmented APAC region, the choice of scenarios and especially the severity and probability of it has to be clearly defined. Subsequently, there is a need to develop an all-rounded approach that fully enshrines the different categories of risks and puts them together in a sound conceptual format. Last but not least, capital allocation strategies as well as translating these results into an action plan strategy are also key areas to be explored. In this event, we look into perspectives on regulation both from the regulator and bank's side, establishing a framework for stress testing scenario analysis, reverse stress testing, setting risk parameters, brainstorming APAC-specific risk scenarios, as well as stress testing market, liquidity and credit risks. This marcus evans event will bring together the leading industry practitioners engaged in the mitigation and management of risk in their financial institutions, providing delegates the unique opportunity to get a comprehensive coverage of cutting edge knowledge on the same subject.

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FinRoad is the leading online Financial Markets Community with members in over 100 countries. Relevant connections, content and exclusive tools are at the core of our strategy for business, career and networking opportunities. Moreover, FinRoad communicates on all the relevant financial events.Connect with the people who really matter: www.finroad.com allaboutrisk.com is the destination site for all things Risk! It brings together the suppliers and buyers in risk management, compliance and trading and is aimed squarely at the Energy/Commodities trading and Financial Services markets. The key features of the site include; comprehensive vendor directories, risk events, vendor comparison reports, daily news, weekly newsletter and an annual risk software report. For more information please contact Jane Stoll at jane.stoll@allaboutrisk.com or visit www.allaboutrisk.com Financial Veritas is the leading financial events portal. Find courses and conferences that are provided by the leading providers in the financial industry. This includes large-scale gatherings to smaller, nichefocused industry events taking place around the globe. Save time, money and effort by using our easy to use events search facility. Find, compare and book seats for the industrys leading courses and conferences. All on a single platform

Who should attend

Financial Institutions (including Banks, Asset Management Firms and Insurance Companies) Heads, Presidents, Managers and Directors of Stress Testing Risk Modelling/Validation Risk & Capital Allocation Chief Risk Officer Basel II/III Credit Modelling Risk Reporting/Policy/Control Quantitative Risk Analysis / Risk Analytics Risk Strategy / Enterprise Risk Management Scenario Selection Credit/Market/Liquidity Risk Treasury

3rd Annual Stress Testing & Scenario Analysis

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CONFERENCE: 3RD ANNUAL STRESS TESTING & SCENARIO ANALYSIS DATE(S): 20TH & 21ST FEBRUARY 2012 VENUE: SINGAPORE

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Business Development Opportunities

Does your company have services, solutions or technologies that the conference delegates would benefit from knowing about? If so, you can find out more about the exhibiting, networking and branding opportunities available by contacting our sponsorship division. For further details, please use the contact information given above.

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