Welcome Remarks

Session 1: Design considerations and uses of multiple scenarios

Panel chair:
Jose A. Lopez, Federal Reserve Bank of San Francisco

Panelists:
Azamat Abdymomunov, Federal Reserve Bank of Richmond
Jeremy Franklin, Bank of England
John Zeszutek, Bank of America

Overview: Scenarios are at the foundation of effective stress testing, and the use of multiple scenarios can greatly deepen understanding of risks. The challenges in designing multiple scenarios are extensive, ranging from their narrative form to their technical implementation. In this panel, we discuss in detail how these challenges are being addressed by various stress testing teams.

Break

Session 2: Innovations in salient risk capture

Panel chair:
Patrick deFontnouvelle, Federal Reserve Bank of Boston

Panelists:
Matthew Coffey, PNC Bank
Matthew Griffith, J.P. Morgan Chase
Christopher Hornsby, Federal Reserve Bank of San Francisco

Overview: A robust and dynamic approach to stress testing should aim to capture a variety of salient risks that emerge over time. This panel will focus on several salient risks that are of particular concern in the current environment. These include: risks in the Commercial Real Estate (CRE) sector, risks associated with lending to nonbank financial institutions, and risks arising from deposit runoff and other potential funding shocks.

Lunch

Session 3: Aligning stress testing and CECL

Panel chair:
Doriana Ruffino, Board of Governors of the Federal Reserve System

Panelists:
Tom Bilston, Federal Reserve Bank of Richmond
Ronel Elul, Federal Reserve Bank of Philadelphia
Ian Forrester, Capital One

Overview: The Financial Accounting Standards Board (FASB) introduced the new Current Expected Credit Loss (CECL) standard in 2016, and firms subjected to the stress test have adopted it, both in their business-as-usual practice as well as for their internal stress tests. In addition, the Federal Reserve previously announced that it is maintaining the current framework through the 2024 cycle, while continuing to evaluate appropriate future enhancements. This session will cover some of the challenges that the Federal Reserve and firms have identified, such as data availability, application of stress testing policy principles, and findings from supervisory examination of firm practices. It will also focus on the lessons firms have learned from their own integration of the CECL standards in their own stress testing practices.

Closing Remarks

Reception