visit our website: www.flemingeurope.com

“Linking the credit and liquidity risks”

EXPERT ADVISORY BOARD nd Annual Dr. Andrea Burgtorf Deutsche Bank, Germany, Head of Stress Testing Governance, Risk Analytics and Instruments European Dr. Linda Sleddens Aegon Bank, Senior Financial Risk Manager Susanne Hughes Lloyds Banking Group, UK Stress Senior Manager Stress Testing Peter Quell DZ Bank, Germany, Head of Portfolio Modelling for Market and Credit Risk Testing

EXCLUSIVE SPEAKER PANEL Conf e r n ce & Work s hop

Heiko Hesse for Banks IMF, USA, Economist, Monetary and Capital Markets Department 23-24 October 2013, Netherlands Iain De Weymarn Bank of England, UK, Head of Banking System Division, Financial Stability Radisson Blu Hotel Caroline Liesegang EBA, UK, Senior Stress Testing Expert Jerome Henry Conference & Workshop ECB, Germany, Head of Financial Stability Assessment Division 2 Market conditions are in turmoil and a regulatory or risk management Javier Villar Burke no one can be sure of the reaction. perspective. Moreover, you will be European Commission – DG ECFIN One of the ways of calming things able to benchmark your processes Statistical Officer down is reassuring the Financial and methodologies with your peers, environment about your ability regulators and gather diversity of Alexander Vasyutovich to react promptly, safeguard your insights for your internal processes Promsvyazbank, Russia, Co-Chief Risk Officer clients’ interests and cope with improvement. Head of Financial and Retail Risk Management liquidity squeeze during stressed Peter Quell periods. By incorporating stress To practice your stress testing DZ Bank, Germany, Head of Portfolio Modeling testing into your risk management techniques, we have prepared an for Market and Credit Risk methodologies, you are taking one intensive hands-on workshop called of the more important steps of doing Scenario Analysis in Stress Ewa Renz so. Your institution should stress test Testing, Methodology and Best BRE Bank, Poland, Deputy Director – Credit Risk not only for compliance purposes, Practice. Attending will improve Derk van den Bos but also for your risk management understanding of the use of stress ING, Netherlands, Senior Risk Analyst framework to function properly. testing and scenario analysis, By attending Fleming Europe’s liquidity risk measuring techniques, Franka Liederop 2nd Annual European Stress you will listen to specific case Dutch Central Bank, Netherlands, Senior Policy Testing Forum for Banks, studies, get involved in a hands-on Advisor in the Financial Stability Division you will participate in a forum exercise or better understand the Franco Stragiotti providing end-to-end knowledge connection between stress testing Université Catholique de Louvain - Louvain of stress testing issues, either from and contingency planning. School of Management, Belgium William Thomson Experian, UK, Chief Economist YOUR WORkSHOP LEADER Flavio Cocco Prometeia SpA, Italy, Partner Leonard Matz Dr. Juan Licari Liquidity Risk Advisors, USA Moody‘s Analytics, UK, Senior Director, Head of Economic & Consumer Credit Analytics in Europe Principal

Silver Sponsors: Bronze Sponsor: Knowledge Partner: Endorsing Partners: Booking line: tel: + 421 257 272 232, / fax: + 421 255 644 490 Email: [email protected], www.flemingeurope.com

• Hands-on Workshop BENEFITS OF ATTENDING

TURES • Hear from IMF, EBA, ECB, Bank of England • Learn how to effectively combine Credit, Liquidity & Market Stress Tests Understand challenges of stress • INTERACTIVE ELECTRONIC POLLING & E-NETWORKING easy on-line testing, including reverse stress accessible networking system for on-line voting, live polling, interactive testing, and how to communicate feedback & simply more fun! results to management, the board, S P E C I AL F A and regulators

Experience continuous resilience assessment through regular stress PAST YEAR‘S CONFERENCE testing ATTENDANCE IN NUMBERS Identify, analyse and address key risks in the EU banking sector

Job Title Breakdown Complete guide to loss absorbtion in a crisis and leaving taxpayers off VPs, Deputy VPs and Chairmen 19% the hook

C-level 15% WHO WILL ATTEND

Directors & Managers 38% Banks: Chief Executive Officers, Chief Risk Officers, VPs, Economists, Global Heads of Departments 28% Heads, Regional Heads, GMs, Managing Directors, Executive Directors, Heads of Risk Management Departments, Risk Assessment Regional Breakdown Heads, Regulatory Compliance Managers, Heads of Stress Testing, Stress Testing CIS & rest 31% Managers, Risk Managers, Risk Strategy Experts

SEE 9%

visit our website: CEE 13% www.flemingeurope.com

CONFERENCE & WORKSHOP 26 - 28 september 2012 S tress T esti n g 2012 Co nf ere nc e & W orks h o p Novotel Amsterdam City, Netherlands Western Europe 47% stress-testiNG 2.0 “Gearing up for 2013”

our eXPert ADvisorY boArD

Adolfo Montoro Syed Ali Deutsche Bank, UK Deutsche Bank, UK STRESS TESTING 2.0 BRINGS YOU SPECIAL FEATURES Vice President, Head of Market Risk Senior Basel III Liquidity SME Multiple Case Studies • Necessary Regulatory Economic Capital Methodology Irving Henry, British Bankers Insights • Empirical Application Sessions • Full Day Laurie Mayers Association, UK, Director Financial Services Authority Interactive Workshop • Two-Stream Afternoon Ivelina Nilsson UK, Manager Lloyds Banking Group Capital Management Team UK, Head of Business Risk

In light of recent experiences both within the EU and beyond, significant lessons have been highlighted in relation to stress testing practices. OUR WORKSHOP LEADER COMPANIES The recent crisis also demonstrated that stress testing can serve as an Hakan Yar important macro - prudential tool for restoring confidence in financial Head of Risk Control, SEB Poland systems, increasing transparency and reducing market uncertainty... & Senior Risk Analyst, SEB Germany On the other hand, the crisis also revealed the need for better, more comprehensive stress testing in the financial industry. Even though Adolfo Montoro Leonardo Salvagnini traditionally stress testing referred to asset portfolios, currently it is Deutsche Bank, UK, Vice UniCredit, Italy, Head of Credit being applied to entire banks, banking systems and financial systems. President, Head of Market Risk Scenarios and Stress Testing Fleming Europe‘s Stress Testing 2.0 Conference and Workshop Economic Capital Methodology Colin Burke is a first class learning & networking platform bringing the latest, Jerome Henry, ECB, Germany Lloyds Banking Group, UK most up-to-date information & updates on stress testing at multiple Head of Financial Stability Head of Technical Validation and levels: regulatory requirements, capital, credit, liquidity & market ATTENDED IN THE PAST Assessment Division Market Risk Model Approval risk stress testing. Focusing on both system-wide and company-wide approaches, full of special features, 2 streams and a full day workshop, Claus Puhr, ONB, Austria Peter Quell this is a unique opportunity to prepare for 2013 stress testing in the Head of Systemic Risk Assessment DZ Bank, Germany

best way possible... Unit in the Financial Markets Head of Portfolio Modelling for C o NF ir M e D s P AK ers Analysis and Surveillance Division Market and Credit Risk wHo wiLL AtteND Christopher Blake, HSBC, UK Arno van Eekelen ABN Amro • Aegon Bank • Alogrithmics • Amsterdam Trade Bank • Austrian National Senior Manager, Liquidity Risk - SNS REAAL, Netherlands Banks: Chief Executive Officers, Chief Risk Officers, VPs, Group Asset & Liability Management Risk consultant Economic Capital Economists, Global Heads, Regional Heads, GMs, Managing Assoc. Prof. Dr. Alper Özün & Stress testing Directors, Executive Directors, Heads of Risk Management HSBC Turkey, Head of Asset- Departments, Risk Assessment Heads, Regulatory Compliance Vijay Krishnaswamy liability & Capital Management Bank • Banco Portugal • Bank of England • Banka Kombetare Tregtare • Bre Bank • Managers, Heads of Stress Testing, Stress Testing Managers, Risk Hymans Robertson LLP, UK Department Managers, Risk Strategy Experts Partner and Head of Enterprise Krzysztof Czerkas, Bre Bank Risk Management Hipoteczny, Poland, Advisor to the Alexander V. Vasyutovich Chairmen of Management Board Promsvyazbank,Russia CITCO • Credit Europe Bank • Deutsche Bank • DZ Bank • European Central Bank • reAsoNs to AtteND Ewa Renz, Bre Bank Head of Financial and Retail Risk Hipoteczny, Poland Management, Co-Chief Risk Officer Get the most up-to-date information from your peers Deputy Director – Credit Risk Richard Reeves Understand your regulatory obligations Petr Jakubik, Czech Republic Algorithmics an IBM Choose your conference stream: Credit & Capital or Liquidity President of the Czech Economic Company, Senior Director HCBG Holding • HSBC • HSBC Turkey • Hymans Robertson LLP • ING • KBC • KBC Stream? Society and Lecturer at Charles Business Intelligence Group (BIG) Listen to a variety of discussions and get solutions University in Prague Ziauddin Ishaq

Enhance your knowledge on stress testing infrastructure Ernst Eichenseher, HVB - Oracle Financial Services Gain empirical experience UniCredit, Germany, Head of Credit Global Solutions Lead for Take part in the Day 3 exclusive interactive workshop Bank NV • Lloyds Banking Group • Mortgage and Land Bank of • Norges Bank Risk Control and Economic Capital Liquidity Risk • ORACLE • Privredna Banka Zagreb • PROGNOZ • Prosmvyazbank • Raiffeisen Bank Silver Sponsors: Exhibitor: International • Santander • SEB • Slovenska Sporitelna • SNS REAAL • TEB • The City Bank Limited • UniCredit • UniCredit Bank AG • VTB • ZAO Raiffeisenbank

Media Partners: Booking line: tel: + 421 257 272 232, / fax: + 421 255 644 490 Email: [email protected], www.flemingeurope.com

DAY I 23 October 2013

8:30 registrATION & MORNING COFFEE 10:40 COFFEE BREAK & NETWORKING

9:00 weLCOMING NOTE FROM FLEMING EUROPE 11:10 Advanced Stress Testing 1: Credit Risk Modelling and Validation 9:05 oPENING REMARKS FROM THE CHAIR • Sensitivity and scenario analysis performance Heiko Hesse, IMF, USA, Economist • How to use regression approaches for credit Monetary and Capital Markets Department modelling • PD & LGD Approaches for credit risk modelling 9:10 KEYNOTE: EU- Wide Stress Testing Ewa Renz, BRE Bank, Poland • Recent Developments and Methodologies Deputy Director – Credit Risk • Comparison to non-EU stress tests • IMF Stress Testing 11:40 Advanced Stress Testing 2: Analyzing trading portfolios using stress tests • Solvency and Liquidity Stress Testing • Financial markets stress tests: What are typical problems? Heiko Hesse, IMF, USA Economist, Monetary and Capital Markets Department • Integrating dynamic aspects into stress tests • Modelling turbulent financial market RISK DAY: STRESS TESTING AS A • Using appropriate risk measures COMPREHENSIVE RISK MANAGEMENT TOOL Peter Quell, DZ Bank, Germany Head of Portfolio Modelling for Market and Credit Risk

9:40 Stress testing of retail portfolios: Are you 12:10 Advanced Stress Testing 3: making the most of the economic data Stress Testing and Capital Allocation available? • Transition to Basel III compliance • Are you choosing the right economic factors to stress in your models? • How to use stress testing as part of capital planning process? • Developing an appropriate economic scenario Alexander Vasyutovich, Promsvyazbank, Russia • Are macroeconomic factors necessarily the Co-Chief Risk Officer, Head of Financial and Retail Risk appropriate ones on which to focus? Management • Leveraging the results of the stress testing process for other applications William Thomson, Experian, UK, Chief Economist 12:40 LUNCHEON & AFTERNOON BREAK

10:10 Portfolio Stress Testing across all the asset classes 14:10 DISCUSSION PANEL: 1) Starting Point: Building Macroeconomic Scenarios Linking credit and liquidity risks - Alternative Schools of Thought. Speakers from the morning session join the discussion - Estimation and Simulation Techniques for Building panel and explain the linkage between credit, market Consistent Scenarios. and liquidity stress testing: 2) Second Step: Mapping Macro Assumptions to • How to stress test different types of risks? Portfolio Risk Parameters: • Relationship between liquidity, market and credit risk - Stressing Market Risk Instruments: A Case Study on based on different degrees of portfolio liquidity Interest Rate Risk Modelling. • Effects of the liquidity stress test on the solvability - Stressing Credit Risk Instruments Credit Analysis: A position of the bank case Study on Credit Migration. Panelists: - Dynamic Stress Testing: Analysis of Current and Peter Quell, DZ Bank, Germany, Head of Portfolio Future Loan Performance. Modeling for Market and Credit Risk 3) From Risk Parameters to Portfolio Performance: - The role of Correlation. - Case Study on Reverse Stress Testing. Conference continues with interactive workshop Dr. Juan Licari, Moody‘s Analytics, UK, Senior Director Head of Economic & Consumer Credit Analytics in Europe on liquidity stress testing

INTERACTIVE ELECTRONIC POLLING & E-NETWORKING easy on-line accessible networking system for on-line voting, live polling, interactive feedback & simply more fun! Find out more at NEW http://finance.flemingeurope.com/stress-testing/slido Booking line: tel: + 421 257 272 232, / fax: + 421 255 644 490 Email: [email protected], www.flemingeurope.com

DAY I 23 October 2013

HANDS ON WORKSHOP SCENARIO ANALYSIS IN STRESS TESTING, METHODOLOGY AND BEST PRACTICE

Laptop with MS Excel or compatible spreadsheet 14:40 Lecture: software will be required for interactive • Identification and application of scenarios and stress / participation at this workshop severity levels Liquidity stress tests, contingency plans and balance sheet • Choosing and using idiosyncratic and systemic management are inextricably interconnected and must be scenarios at multiple scenarios. used together. The ability to perform a range of institution • Regulatory expectations. specific, systemic and combination scenario based stress tests is an essential component for success in today’s global financial industry. Participants at this 3.5 hour intensive course will learn: 15:00 Lecture - 6 Case Studies Review: • How to use stress testing and scenario analysis to • Alpha Bank evaluate the impact of sudden stress events on their • Northern Rock liquidity position, • Bear Stearns • Integrating stress testing within a bank’s enterprise- • Bank of East Asia wide risk management framework, with specific emphasis on liquidity risk • IndyMac • Listen to liquidity crisis case studies • Wachovia • How to base scenarios on historic events? • How to connect stress tests to contingency planning 16:00 AFTERNOON COFFEE & TEA and balance sheet management?

Interactive features of the workshop 16:30 Hands On Exercise: • Discussions of assumption sensitivity: How do Delegates will work in small teams using a functioning changes in assumptions and input data affect the stress test model to evaluate a hypothetical liquidity actual outcome of the stress test? How sensitive is the stress event. stress testing to changes in assumptions? • Identification and discussion of key elements for stress 17:30 Discussion: Stress Test Exercise forecast. Teams will discuss the cash flow forecast model, tactical • Use of a real stress test model. and strategic mistakes made by the bank. • Discussion of tactical and strategic errors in case studies and class exercise. 17:45 Discussion: Hands on illustration of sensitivity analysis using the stress test model YOUR WORkSHOP LEADER 18:00 Lecture: Leonard Matz is an independent liquidity risk consultant. Previously, How stress tests must be connected to contingency Leonard was the international director planning and balance sheet management of liquidity risk consulting for Kamakura Corporation followed by a similar role 18:30 eND OF WORKSHOP at SunGard BancWare. He began his career as an Examiner for the Federal Reserve of Cleveland and subsequently spent 15 years in senior risk management assignments at three US banks. 18:30 CLOSING REMARKS FROM THE CHAIR Many know him from his influential books on liquidity management and ALM, including “Liquidity Risk Measurement and Management: Basel III and Beyond” and “Self-Paced Training Guide to Asset/Liability Management”. Leonard has worked with bankers on 6 continents to review and Speakers and delegates are cordially invited to attend a revise their liquidity risk measurement, contingency planning, policies, documentation, and reporting. Bankers and regulators Networking Cocktail Reception worldwide acknowledge Leonard’s influence on liquidity best practices. Booking line: tel: + 421 257 272 232, / fax: + 421 255 644 490 Email: [email protected], www.flemingeurope.com

DAY iI 24 October 2013

8:30 MORNING COFFEE 12:30 LUNCHEON & AFTERNOON BREAK

9:00 oPENING REMARKS FROM THE CHAIR CASE STUDY PANEL – HOW IS THE STRESS TESTING DONE? REGULATOR‘S PERSPECTIVE 14:00 CASE STUDY 1 Stress Testing Loan Portfolios 9:10 Key elements of building Stress Testing • Why do institutions stress test the commercial loan Infrastructure for Regulatory Compliance portfolio? • Supervisory versus banks’ internal stress testing – what • What should be stress tested? makes the difference? • Should the portfolio be stressed at the portfolio level or • EBAs EU-wide stress testing framework and the link to the transaction (loan) level? bank stress testing frameworks • How and where is the loan data available for stress Caroline Liesegang, EBA, UK testing? Senior Stress Testing Expert Derk van den Bos ING, Netherlands, Senior Risk Analyst 9:40 Stress Testing and the European Sovereign Debt Crisis 14:30 CASE STUDY 2 • European Sovereign Debt Crisis and Stress-Tests Managing Interest Rate Risk in the Banking Book • Interaction between sovereigns and banks • Integrated Management of the Interest Rate Book & • Stress test design issues Inclusion of Stress Tests • A number of stress test results • Measuring banks‘ vulnerability to loss under stressful • A macro top-down recent illustration market conditions Jerome Henry, ECB, Germany • Understanding interest rate scenarios Head of Financial Stability Assessment Division Flavio Cocco, Prometeia SpA, Italy, Partner

10:10 Macro Financial Model of Stress Testing: Closing the Credit-Liquidity Gap 15:00 AFTERNOON COFFEE AND TEA • Integration of credit-liquidity transmission channel • Current supervisory framework for monitoring liquidity risk in the banking sector 15:30 Leverage and its hidden risks • Integrating dynamic approaches to your balance sheet • Leverage: relative measure of debt and liquidity risk management • Banking leverage as one of the underlying feature of the Franco Stragiotti crisis Université Catholique de Louvain - Louvain School • The traditional leverage ratio and its hidden risks of Management, Belgium • Analysis of components: total assets and equity • The marginal leverage ratio as a complement to traditional leverage ratio 10:40 COFFEE BREAK & NETWORKING • Leverage and stability of funding sources • Leverage and liquidity risk: dependence on market value of assets and liabilities 11:10 Stress Testing from the Bank of England • Country data Perspective Javier Villar Burke, European Commission Iain De Weymarn, Bank of England, UK – DG ECFIN, Statistical Officer Head of Banking System Division, Financial Stability 16:00 WRAP-UP DISCUSSION PANEL 11:40 CENTRAL BANKING DISCUSSION PANEL Speakers, panellists and conference partners from both days Speakers from the morning session – central bankers and will join this discussion panel to answer your questions and regulators to address stress testing issues and discuss with discuss the stress testing issues that have been presented the audience: throughout the whole conference. Moderator: Iain De Weymarn, Bank of England, UK Head of Banking System Division, Financial Stability 16:30 CHAIRMAN CLOSING REMARKS Panelists: Franka Liederop, Dutch Central Bank, Netherlands Senior Policy Advisor in the Financial Stability Division 16:40 FAREWELL COFFEE AND NETWORKING Caroline Liesegang, EBA, UK, Senior Stress Testing Expert I would like to thank everyone who has helped with the research and organisation of this event, especially the expert advisers for their 12:20 feeDBACK SESSION commitment, time and support. Peter Grof, Project Manager Finance, Senior Conference Producer +421 257 272 128, [email protected]