On Demand

Stress Testing: How to tame a Black Swan?

How banks can be prepared for the unknown reality of tomorrow

Duration: 35 minutes 

About the webinar

We are in a crisis that was not foreseen even in the most adverse scenarios through which the banking system is periodically tested by the competent authorities. The Adverse scenario proposed by the European Banking Authority (EBA), for the exercise of Stress Test that should have taken place this year foresaw a drop for instance in Belgian GDP of 1.5% and Dutch GDP of 0.9%. This stress scenario which was designed in 2019 has now become reality and much worse than that.

The EBA just published an impact study of COVID-19 on the EU banking sector estimating non-performing loans will double compared to 2019 to over a trillion euros!

How can a bank respond to this promptly and how can a bank assess the impact on their balance sheet for the next years?

Take part in an interactive session to discuss these issues and to find out how SAS can support banks in facing these challenges.

Topics we will address

  • The challenges of the current context
  • The SAS approach to support scenario-based analyses
  • An example applied on COVID19 data (demo)
  • How can we be prepared for the next black swan event?

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About the Expert

Maurits Bakker

Maurits Bakker
Risk Solution Leader – SAS Benelux 

Maurits Bakker leads the Customer Advisory practice of SAS within the domain of Risk Management in the Benelux. Maurits has 15 years of broad experience across Europe, UK and North-America focusing on risk management solutions within the Financial Services sector.

Prior to SAS Maurits was with PwC for over 10 years as a Risk Consultant and has done more than 50 projects within the risk space both from a qualitative perspective (e.g. ICAAP, risk appetite frameworks, resolution planning, CRR/CRDIV, Basel IV) and from a quantitative perspective (e.g. credit risk models, operational risk models, VAR models, valuations and (EBA/ECB) stress testing). Maurits has a quantitative background in applied mathematics.

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