Stress testing workshop
This workshop has already taken place.
Some pictures of the event can be found here.

Date: 13 February 2009

Location: 		Restaurant Arenberg  
Rotspoelstraat 5
3001 Heverlee
Map

Registration fee:
Including diner and VAT
450 Euro for early registration (before February 1st)
550 Euro for late registration
200 Euro academic fee (for full-time students and academics)
Register here
Transfer of registration fee to a colleague is always possible.
Full reimbursement of registration fee until February 1st.
Program

13.30

Registration

14.00 Stress-tessting : a stressless introduction
Hans Maertens
Risk Policy Manager
AXA Bank Europe

  • Stress testing: definition, types, scope and techniques
  • Sources of events: where to obtain information
  • Use of stress test: what to do with it
  • Supervisory and regulatory principles
  • Enterprise model (IMF source)
  • Practical approach: how to start
14.30 A Practical Framework for Pillar 1 Stress Testing
dr. ir. Tony Van Gestel
Quantitative analyst
Dexia Group

  • Pilar 1 stress testing framework
  • Including macro-economic information
  • Choosing time horizon and extrapolation
  • Measuring stress test outcome
  • Achieving consistent stress levels accross portfolios
15.30

Coffee/Tea break

16.00 Stress testing of credit risk: nice to have or necessity ?
Renilde Vandebroek
Credit risk manager
ING

  • Regulatory context for stress testing
  • Types of stress testing
  • Stress testing issues: PD versus scenario-based, management actions
  • Case study 1: NBB 2008
  • Case study 2: DNB
  • Future developments & conclusions
17.00 Survival of the fittest – liquidity risk stress testing
Jean-Marcel Phé-Funchal
Consultant
Finalyse
  • 3 confusions/opacities about Liquidity risk mgt (LRM)
    • Maturity mismatch and contingency funding analysis
    • Contingency funding as an add-on to the maturity mismatch
    • The unencumbered assets is the equivalent of economic capital for LR
  • Rephrasing LRM
    • Scenario analysis
    • Constructing richer and relevant scenarios
    • About stochastic measures
    • Defining Liquidity Risk Drivers/Liquidity Risk Units
  • A proposal for an LRM solution
18.00 Discussion and Conclusions
prof. dr. Bart Baesens
Professor Risk Management
K.U.Leuven, University of Southampton

18.30 Reception, networking and diner