Beyond BCAR: Scenarios and Impacts on Capital
December 9th at 1pm ET
In light of the black-swan pandemic, many banks are looking beyond BCAR with a laser focus on how best to develop new risk scenarios and assess impacts on capital. Join your industry peers from the Canadian banking community as we explore the challenges inherent in existing capital risk architectures and work through several scenario-driven portfolio case studies.
Register today to participate in the roundtable discussion about the following topics:
- The challenges banks face as they develop risk systems that incorporate stress testing and stress scenarios management. Does the existing architecture have the ability to handle all the regulatory-required and internal (advisory) scenarios and models?
- Identifying appropriate scenarios to test, i.e., LIBOR transition, regulatory model changes, etc.
- How to detect exposures affected by these scenarios
- Applications of scenario analysis: decomposing RWA, comparing calculation methodologies such as AIRB vs. standardized approaches, and using for preparation of QIS reports
Esteban Salazar, Senior Director & Head, Capital Measurement, RBC
Anh Chu, Head of Canada Product Management, AxiomSL
Mahim Mehra, Senior Risk Advisor, AxiomSL
Luis Seco, Professor of Mathematics and Director of the Master of Mathematical Finance Program, University of Toronto