The future of systematic vulnerability identification in Asset Liability Management

Summary

How can we better  discover blind spots in interest rate risk management? How can systematic vulnerability identification support senior management in its day-to-day risk decision making?

Join us for an in-depth session exploring a novel reverse stress testing approach that challenges conventional Asset Liability Management (ALM) methods.

This groundbreaking project, awarded the Swiss Risk Award 2024, integrates traditional yield curve modelling and stress testing tools with AI and machine learning to systematically identify vulnerabilities in balance sheets. It reveals critical risks often overlooked by traditional regulatory scenarios.

A panel covering academics, policy makers and industry participants will discuss how these findings can provide measurable improvements in day-to-day risk decision making.

Whether you’re a practitioner, policymaker, or risk strategist, this session will provide fresh perspectives on ALM risks—grounded in practical implementation and backed by global institutional interest.

What you’ll gain from this event:

• Insights into reverse stress testing as a method for identifying hidden interest rate risks and complying with IRRBB reverse stress testing requirements
• A look into AI and machine learning applications in ALM risk modeling
• Understanding the limitations of standard regulatory scenarios (e.g., IRRBB Supervisory Outlier Test)
• Practical outcomes from real-world implementation in a Swiss commercial bank
• Reflections on how supervisory bodies and central banks are responding to these findings
• Tools to support board-level ALM risk discussions with a holistic view

Presenters

• Eric Schaanning, Group Head of Market and Valuation Risk at Nordea
  Eric Schaanning is Nordea’s Group Head of Market and Valuation Risk Management, across both Trading and Banking Books. Before joining Nordea, Eric held the position of Head of Group Banking Book Risk at UBS & Credit Suisse. Prior to joining UBS/Credit Suisse, Eric held various positions at the European Central Bank and Norges Bank, covering Stress Testing, Macroprudential Policy, Cyber Risk and Central Clearing among others. Eric holds a PhD in Mathematics from Imperial College London and an MSc in Mathematics from ETH Zürich.
• Christian Schmieder, Head of MED Operations at Bank for International Settlements at BIS
  Christian Schmieder is the Head of Operations of the Monetary and Economic Department at the BIS and Secretariat Member of the Irving Fisher Committee on Central Bank Statistics (IFC). He has worked as an Economist in the Secretariats of the Financial Stability Board and the Basel Committee on Banking Supervision, at the International Monetary Fund, the European Investment Bank, the Deutsche Bundesbank and in the private sector. He holds a PhD in business administration and has published a range of studies on banking (including scenario analysis), macro-financial stability issues, sustainable finance and asset management.
• Professor David Aikman, Professor at King’s Business School and Director of the Qatar Centre for Global Banking and Finance
  David Aikman is a Professor of Finance at King’s Business School and Director of the Qatar Centre for Global Banking and Finance. He co-organizes the Bank of England Watchers’ conference and co-edits the Macroprudential Matters blog. With over 17 years at the Bank of England, David has expertise in financial stability and macroprudential policy, having worked internationally with the Federal Reserve, Bank of Japan, and Central Bank of Ireland. He is currently co-editing the Research Handbook of Macroprudential Policy and serves on various financial stability panels. David holds a Ph.D. in Economics from the University of Warwick.
• Jérôme Henry, Principal Adviser – DG Macroprudential Policy & Financial Stability at ECB
  Jérôme Henry is Principal Adviser in the ECB Macroprudential policy and financial stability area. He chairs the Stress Test Task Force of the European Systemic Risk Board and coordinates financial integration work by ECB staff. He led teams for the Quality Assurance of SSM stress tests and was involved in country crisis management. He also worked at the BIS as an FSI fellow. Mr Henry was beforehand a long-standing Eurosystem forecast coordinator. He started at the ECB leading the macromodelling team. He arrived in Frankfurt more than 30 years ago, to prepare Monetary Union, after being a macroeconomist with Banque de France. Prior to his central bank career, he conducted research at the OFCE and the INSEE in Paris.

Introduced by Anton Seidel, Chair of the Swiss Risk Award and Financial Markets Reinsurance at Swiss Re and moderated by Eric Schaanning.

Agenda

17:45 Arrival & Name Tag Collection
18:10 Welcome and Introduction (Anton Seidel)
18:15 Project presentation (Eric Schaanning)
18:45 Panel with all the speakers and Q&A
19:25 Conclusion (Anton Seidel)
19:30 Networking Drinks
20:30 End

Chapter Event

As chapters evolve, synergies are found and the focus of our topics change, we will combine chapter “Risk Analytics and Models” and Stress Testing and Scenario Generation” into the new chapter “Analytical Methods”. We explore analytical approaches to risk management, with a focus on practical applications. Our chapter provides practitioners with a stage to share their latest ideas, tools and methods.