This Event Has Ended 
On June 25 and 26, 2015, the Board of Governors of the Federal Reserve System and the Federal Reserve Bank of Boston will jointly host the Fourth Annual Stress Test Modeling Symposium.
This year's Symposium will focus on best practices, thoughts, and challenges related to stress test modeling and its application. The primary goal is to bring together experts from the regulatory community and the banking industry to share diverse views and experiences in stress test modeling and to help improve the general understanding of stress test modeling practices and applications.
Topics that will be discussed during this year's Symposium include:
- Supervisory expectations for banks of different size and complexity
- Integration of capital planning into strategic planning and risk appetite setting
- Enhancements to supervisory stress testing models
- International Regulators: lessons learned from recent exercises
- Breakout sessions on:
- Performance testing and the role of multiple models
- Dealing with uncertainty in projecting non-interest income
- The effect of rising interest rates on credit risk
- Using external data for wholesale loss projection
- Finding the right balance between modeling and judgement in the projection process
- Designing a coherent stress testing framework
Agenda
updated July 10, 2015
Thursday June 25, 2015
| 9:00 am |
Welcoming Remarks Jim Nolan, Federal Reserve Bank of Boston |
|
9:30 |
Supervisory Expectations (Part I): Integration of Capital Planning into Strategic Planning and Risk Appetite Setting The panel will discuss roles of senior management and board members in the capital planning process – including how to integrate capital planning into the firm's strategic planning and risk appetite setting processes. Moderator: Panelists: |
|
10:45 |
Break |
|
11:15 |
Supervisory Expectations (Part II): Expectations for Banks of Different Size and Complexity The panel will discuss thoughts on differing expectations of stress testing models and capital planning practices for larger and smaller BHCs. Moderator: Panelists: |
|
12:30 pm |
Lunch |
|
2:00 |
Enhancements to Supervisory Stress Testing Models The panel will discuss key objectives for supervisory stress tests and thoughts on short- and long-term model enhancements to meet those objectives. Moderator: Panelists: Mark Lueck, Federal Reserve Bank of Chicago |
|
3:15 |
Break |
|
3:45 |
International Regulators: Lessons Learned from Recent Exercises The panel will discuss approaches to stress testing across various jurisdictions. Topics will include overall objectives, scenario selection, common features, and implementation challenges. Moderator: Panelists: Klaus Düllmann, European Central Bank Meg McConnell, Federal Reserve Bank of New York |
|
5:00 |
Adjourn and Reception |
Friday June 26, 2015
| 9:00 am |
Breakout Sessions Session 1.A: Performance Monitoring and the Role of Multiple Models The panel will discuss thoughts on objectives of performance testing, with a focus on how firms may use multiple models for performance testing purposes. Moderator: Panelists: Priyotosh (Tosh) Mukherjee, JP Morgan Chase & Company Agus Sudjianto, Wells Fargo & Company Session 1.B: Dealing with Uncertainty and Change in Projecting Non-Interest Income and Expense The panel will discuss best practices in accounting for uncertainties in the PPNR components that can be the most difficult to model in a stressful environment. Moderator: Panelists: |
|
10:15 |
Break |
|
10:45 |
Breakout Sessions Session 2.A: Effects of Payment Shocks and Interest Rate Resets on Mortgage Credit Risk The panel will discuss approaches used to estimate the effect of rising interest rates on credit risk, including the effect of end-of-draw payment shocks, resets, and re-funding. Moderator: Panelists: Robert Sarama, Federal Reserve Board Kiran Yalavarthy, Wells Fargo & Company Session 2.B: Using External Data for Wholesale Loss Projection The panel will share best practices in combining internal and external data for wholesale loss projection. Moderator: Panelists: Gordon Liu, HSBC North America Holdings Inc. Joe Nichols, Federal Reserve Board |
|
12:00 pm |
Lunch |
|
1:30 |
Breakout Sessions Session 3.A: Finding the Right Balance Between Modeling and Judgment in the Projection Process The panel will discuss thoughts on achieving the right balance between modeling and judgment in stress testing. Moderator: Panelists: Mark Pocock, Office of the Comptroller of the Currency John Slyconish, State Street Corporation Session 3.B: Designing A Coherent Stress Testing Framework The panel will discuss modeling choices and how to ensure coherence and consistency across key components of firms' stress tests. Moderator: Panelists: Sasa Pilipovic, Goldman Sachs Group Inc. Michael Szwejbka, US Bancorp |
|
2:45 |
Adjourn |