Summary of the 39th Fintegral Expert Forum

Due to the increasing number of COVID-19 cases, the 39th Expert Forum on 18th November 2021 was once again held as an online event rather than the traditional onsite meeting.  After some introductory words by Fintegral’s Managing Partner Dr Andreas Peter, he handed over to the first of three presenters. 

Cyber Risk – a practitioner’s introduction

Martin Baader, information security officer at KfW, started the talk with a discussion on the exponential increase in cyber risk exposure over the past two decades.

From a practitioner’s perspective he stressed the importance of the standards in fighting cyber risk and introduced the concept of the “Cyber Kill Chain”. To mitigate cyber risk, it is important to conquer as many links in this chain as possible. Mr. Baader mentioned that following this approach should mitigate about 80% of the cyber risks. Nevertheless, for the remaining 20% an experienced cyber security team is needed. 

Supervisory Stress Testing – Quo Vadis?

In the second talk, Dr Gernot Stania started with a discussion of the BCBS’ “Stress testing principles”. He introduced indicators, which indicate good stress tests and discussed their interplay with the objectives defined in the BCBS paper. With the observed trade-off in the goals of supervisory and bank internal stress tests, he concluded that it is best to separate these two kinds of stress test.

Dr Stania finished his talk with a reflection on different topics in stress testing which in his opinion provoke reflection on the risk environment but are not (yet) part of traditional stress tests. These topics included: supply chain strain in response to dynamic and decoupling of economies (e.g. US/CN, UK/EU), arising competition (such as BigTech, FinTech, DeFi, …), and cyber risks.

Credit risk approach from regulatory model lifecycle perspective

In the last presentation, Davide Boselli from ING gave insights into three aspects of his work as chapter lead in model validation at ING. He introduced ING’s model risk management, which is based around the principles of an agile organisation. He furthermore presented his views on where the main workload on validating IRB models will be considering the TRIM results. Davide finished his presentation discussing the model lifecycle framework at ING.

When closing the event, Dr Andreas Peter announced the next Expert Forum which is scheduled to take place in early 2022. The future will show if it will be an onsite or a virtual event. We will keep you updated!