London Chapter

PRMIA London creates Stress Testing Focus Group

PRMIA London creates Stress Testing Focus Group

Stress testing is becoming increasing prominent and banks’ existing stress testing capabilities are being challenged both in terms of agility and robustness.

Deloitte and PRMIA London have teamed-up to create a Stress Testing Focus Group. This group is hosting a series of events that are providing opportunities for leading industry specialists to share their insights with the group membership, and for the members to learn from each other.

To date we have hosted two events each comprising two presentations:

23 October 2014

  • Lessons learnt for Firms from the PRA and EBA Exercises by Susanne Hughes, Head of Stress Testing at Lloyds Banking Group;
  • Interesting Scenarios - building a story that can communicate bank risks by Mark Somers, 4most.

11 December 2014

  • Volcker Rule: Compliance Challenges and Approach by Cornelius Nandyal - Partner, Associates in Capital Markets; and
  • Managing Asset Quality Reviews by Will Newton, Director at Deloitte.

If you would like to download the slides for these presentations, please click on the appropriate link.

Curtains Down on Market Risk Modelling? Assessing the Implications of the Fundamental Review of the Trading Book

PRMIA London Hosted: 

Curtains Down on Market Risk Modelling? Assessing the Implications of the Fundamental Review of the Trading Book

To listen to the video recording click HERE

Following the ongoing consultation process and an upcoming impact study, in mid 2015 the Basel Committee on Banking Supervision is expected to finalize a new set of rules around market risk capital requirements. As the name suggests, the fundamental review of the trading book - seen as a further chapter in the response of the regulators to the recent global financial crisis - includes broad and far-reaching changes to the existing framework.

  • new definition of liquidity horizons
  • transition from Value at Risk to Expected Shortfall
  • new requirements around public disclosure of market risk capital requirements

Jim Congleton - Head of Market Risk Analytics at Standard Chartered – UK
Derek Nesbitt - Market and Counterparty Risk Policy, Bank of England 
Lars Popken - Head of Market Risk methodology, Deutsche Bank 

Moderator:

Adam Litke - Enterprise Risk Services, Bloomberg

 

Please send comments to london@prmia.org