Pre-conference workshop 2, 11 June 2013
Pre-conference workshop 2: LED BY Bertrand Hassani, Head of Major Risk Management and Scenario Analysis, SANTANDER
WORKSHOP TOPIC: Scenario Analysis: a forward looking perspective of a bank risk profile
8:30 Registration and breakfast
9:00 Presentation: Introduction to Scenarios:
- Scenarios: General Case
- Operational Risk Scenarios
- Place of scenarios in the Operational Risk framework
- Operational Risk management related to the scenario analysis
10:30 Morning coffee break
11:00 Presentation: Leading a scenario workshop:
- Preparing the story lines
- Data set analysis
- Preparing the workshop pack
- Challenging the outcome: methodologies
12:30 Lunch
Presentation: Integration of Scenarios in models:
- Operational Risk modelling
- Specific scenario models
- Combination of data and scenarios in the Loss Distribution Approach
- Impact on Capital Charges
15:00 Afternoon coffee break
15:30 Presentation: Advance methodologies for scenario analysis
- Correlation, dependencies and contagion
- Relation between Operational Risk, Liquidity Risk and Systemic Risk
- The construction of a global bank resilience assessment model
- Next Steps
17:00 End of workshop
Who should attend:
This workshop will be advanced and quantitative
- Head of Operational Risks
- Operational Risk Managers
- Operational Risk Quants
- Head of Operational Risk Modelling
- Business Risk Managers
Speaker's short biography: Bertrand Hassani, Head of Major Risk Management and Scenario Analysis, SANTANDER
Bertrand is a specialist in Basel II/III capital modelling (Credit, Market, Operational, Liquidity, Counterparty etc.) for SIFI's. He is also an active associate researcher at Paris Pantheon-Sorbonne University. He wrote several articles dealing with Risk Measures, Risk Modelling, and Risk Management. He is currently studying for the D.Sc. degree (French H.D.R.). He spent two years working in the Bond/Structure notes market (Eurocorporate), four in the banking industry in a Risk Management/Modelling department (BPCE) and one year as a Consultant (Aon-AGRC). He is now the Head of Major Risk Management at Santander UK.
