• 20 Feb 2016 10:57 PM | Siyao He (Administrator)

    After the delivery of Fundamental Review of the Trading Book (FRTB) Quantitative Impact Study (QIS) in early April, CCFA Risk Study group held the third study session on FTRB on April 16th, 2015. It was an honour to invite Jun Yuan, Senior Manager from RBC and Lu Lin, Senior Manager from Scotiabank, to have a round table discussion on the topic, together with some practitioners on risk management from Canadian banks and members of the study group. Both speakers have involved in the past FRTB QIS exercise.

    The session covered an introduction of FRTB, new regulatory rules on market risk, and FRTB’s Impact on business and industry. An overview of the Basel III’s revised market risk framework was provided by the speakers. There are two approaches can be chosen by a bank in measuring market risk: standardised approach and internal models approach (IMA). Banks must calculate the standardized capital charge for each trading desk, with calculation performed at least monthly.

    The IMA requires approval from OSFI, and uses multiple risk factors. Expected shortfall (ES) must be computed on a daily basis, which is used to calculate the tail risk, focusing on the whole tail instead of only a point of the tail, as compared to Value-at-risk (VaR). Consequently, interval estimation instead of point estimation is required. Back-testing ES is a challenge for the financial institutions in terms of testing methods and data requirements. Basically, there will be higher requirement on the quality of the risk data, and all risk factors should be backed by real trades/transactions data.

    As a high-level impact of FRTB on business and industry, regulators intend to improve transparency and comparability among banks. Going forward, banks will probably be required to apply both approaches. However, capital differences may be reduced since risk-weighted capital may decrease under the revised standardized approach, or it may increase under the revised IMA.  ES must be calculated on a daily basis for the bank-wide internal model for regulatory capital purposes for each trading desk. In addition, there is an increasing importance of the quality of the data. 

    在四月初提交了关于交易账户的基本审查的量化影响学习之后,CCFA风险学习小组在416日举行了第三次学习。这次学习的主题是交易账户的基本审查。我们荣幸地邀请到了加拿大皇家银行的高级经理Jun Yuan,以及丰业银行的高级经理Lu Lin,为我们主导这次的圆桌讨论。参加讨论的还有加拿大其他银行风险管理方面的专业人士,以及学习小组的成员。两位演讲者都参加了之前的量化影响学习。


    内部模型法采用的是多个风险因子的方法,并必须通过OSFI的审批后进行运用。和风险价值(VaR)相比较而言,期望短缺值 ES)也需每日计算,但通过对概率分布的整个尾部进行测量,而并非计算尾部上单一的点。因此,需要运用区间估计而并非点估计的方法来计算ES.由于对数据的要求提高,以及各风险因子必须用到真实的交易数据,目前各金融机构的从业者所遇到的挑战是如何运用测量方法以及如何收集处理数据来对ES进行回溯测试。


  • 11 Feb 2016 10:23 PM | Siyao He (Administrator)

    Official Link

    Date: Thursday February 25, 2016 | 06:00 PM - 07:00 PM

    Speaker(s): Rachel Stanislaus, MFin '12
    Treasury Manager, TD

      Richard KC Wong, MFin '12, CFA
    Vice President, Asset Securitization, TD Securities

      Breanna Brooks
    Assistant Director, Recruitment & Admissions
    Master of Finance

    Venue: CPA Offices
    Founder Hall
    25 York Street, 11th floor
    Downtown Toronto, Ontario

    Location: Toronto

    Cost: Free

    Official Link

  • 21 Dec 2015 10:10 PM | Siyao He (Administrator)

    UofT MMF is inviting CCFA Members to attend their upcoming summit in Feb 4-7, 2016 ! ! !


    Global Perspectives on Financial Innovation 

     The consequences of the crisis of 2008 are still being felt in the financial sector.  

    While stock markets are at their all time highs, and interest rates at their all time lows, the changes in regulation are definitely having an impact in the evolution of financial market participants, especially banks. 

    On the other hand, the fintech sector, contemporary Davids threatening the empire of Goliath, and shadow banking activity open in the mainstream, one may wonder where the world of quantitative finance is going. 

    The MMF Symposium will bring together practitioners and academics to share their vision with all of us and help us determine what the future will bring us.  

    There is a competition between innovation and regulation. The winner will redefine the sector.

    Come to the MMF Symposium 2016 to check the score.

    - Luis Seco, Director MMF




              KEYNOTE SPEAKER           

              The Force           



     Mike Durland

    Group Head and CEO of Global Banking and Markets // Scotiabank


    I first met Mike Durland in 1996, as RiskLab-Toronto was being created. He was instrumental in the creation of Risklab and MMF also; in fact, he served in the industrial advisory board for several years, and a lot of the MMF vision and curriculum was created with his input. To this day we still feel his vision in the program, and I am specially proud and happy that he will be joining us at the Symposium this year.

    - Luis Seco, Director MMF 



               QUESTIONS & ANSWERS           

     The secrets of the Galactic Empire 

    Interview with:







    Camilla Sutton

    Managing Director & Head Global Foreign Exchange // Scotiabank


    Megan Vesely

           Chief Counsel // Sigma Analysis and Management



    Interview with:









    Michael Zerbs

            Executive Vice President & Co-Head IT & Enterprise Technology // Scotiabank


    Dan Rosen

            Managing Director of Risk and Analytics // S&P Capital IQ




              TED TALK         

        Obi-Wan’s wisdom    

    "From MMF to Audit – Adaptation in an Evolving Regulatory Environment" 


    Alyson Bailey-Flynn

      Regional Chief Auditor Europe // Scotiabank


    It is 1998, and the first class of MMF is sitting in a U-shaped table arrangement, waiting for me to teach them risk management. Amongst them there is one, a graduate from Saint Mary's University, a physicist, whose understated presence did not fool me: I knew she was brilliant. Seventeen years later she has graduated to a higher galaxy, Regional Chief Auditor for Scotiabank in London. Innovation versus regulation? She is the best of both.

    - Luis Seco, Director MMF 





            Reports from the Jedi         





    Breakthroughs in distributed ledger technology - A crash course on blockchains and smart contracts.

    Virgile Rostand

    Founder & M.D // Coinsquare



    Outlook for the Robo Advisor Industry's Evolution

    Richard Kang

    Chief Investment Officer // FTSE Group



    Advanced Portfolio Insurance Techniques for funding ratio management.

    Adina Grigoriu

    Founding Partner & CEO // Active Asset Allocation



    Investing in Ontario’s Public Infrastructure: A Prosperity at Risk Perspective

    Paul Smetanin

    President and CEO // Canadian Centre for Economic Analysis



    Financial Innovation: The Case of a Hedge Fund Index Replicator

    Pierre Laroche

    M.D. - R&D - Derivatives Products // National Bank Financial Products






               Inside the ship      


    This panel will examine various elements of investing in hedge funds, in addition to the convergence of different worlds (long-only, hedge funds, private equity).  Nuggets of wisdom in Due diligence - investment, operational, and structural will be furnished. Quantitative equity asset management, asset allocation, and risk management will also be discussed.  The impact of investing via managed accounts will be discussed.  This panel will have a global lens.





    Ryan Gonzalvez

    Vice President

    // The Carlyle Group



    Srikanth Iyer

    M.D., Head of Systematic Strategies // Guardian Capital



    Ranjan Bhaduri

    Chief Research Officer

    // Sigma Analysis and Management




    Predatory trading, dark pools, high frequency trading, MNPI: do these terms denote a new profession is under development?



    Peter Berdeklis

    Portfolio Manager and Head of Algorithmic Trading // Maple Securities


    Rob Almgren

    M.D. - R&D - Derivatives Products // National Bank Financial Products 


    Gloria Tam

    Portfolio Manager // Cubist Systematic Strategies


    Luis Seco

    Director // MMF

  • 13 Dec 2015 2:43 AM | Siyao He (Administrator)
    Dear CCFA Xmas Party Guests,

    Thank you for your strong support. 

    Below please find the seating arrangements for those who requested seating upfront. For those who did not get a chance to request the seating arrangement, we encourage you to check the form below to identify your ideal vacant seat and come to the event at 5pm to check in and pick your seat at the site. Please bring your invoice to facilitate the check-in process. Please find your table before 5:45 so we can start the event on time. See you all on Sunday。

    Please follow these links to obtain the table arrangement for the CCFA Christmas Party.

    Order by Table Number:

    Table Arrangement List For Post 20151213001.xlsx

    Order by Invoice Number:

    Online Registrants' Seatings For Post 20151213001.xlsx

  • 01 Dec 2015 1:01 PM | Siyao He (Administrator)

    The bird on the tree has flown away!

    What’s left on the ground?


    December 13 is less than two weeks away and the early birds are already flapping their wings! But if you go online, you wont find any lean and industrial birds, but only a lazier one with more feathers. 

    Yes, this is about this years Bay Street Chinese Xmas Party.  As previously announced, the online availability for the early bird price of $60 per person was closed at midnight yesterday (November 30). 

    But space is still available, that is, if you want to grab one of those remaining seats.  What can you do?  You have two options: take the short cut to go online at http://theccfa.net/event-2069380/Registrationand pay a premium for the convenience of just a few key clicks, or go offline, seeking out one of those ticket reps to get a seat still at the early bird price!  You can find their names here: http://theccfa.net/event-2069380. Either way you choose, hurry up because space is truly limited!

    If you do go offline, please thank the ticket rep whole heartedly!  Its the dedication and generosity of people like them who make this event even possible!

    By the way, there has been some slight update on the tables.  Please check below.  If any table appeals to your taste, please forward the receipt or digital ticket to Jinke (xmas.jinke@gmail.com) and reserve your desired tables.  Please note: You need to submit at least three table names and it will be offered as First-Come-First-Served!  Of course you can opt to keep the suspense and find out your table when you check in at the door.

    No   Table Name Head of Table   Company  Main Function
     1  Dianna's Table, reserved  Dianna Zhang  VP, Scotia  Economic Capital and Capital Efficiency
     2  Houben's Table, reserved  Houben Huang  VP, BMO  Model vetting
     3  Media Table, reserved  Media  Media  Media
     4  Ian's Table  Ian Michael  Partner, McCarthy Tetrant LLP  Business Law
     5  Geff's Table  Geoffrey Rubin  Managing Director, CCPIB  Total Portfolio Management
     6  Chris's Table  Chris Gibson  VP, TD Securities  Fixed Income, Currencies, & Metals
     7  Eric's Table  Eric Xiao  Partner, Ernst & Young LLP  Transaction Advisory Services
     8  Luis's Table  Luis Seco  Professor, UofT  Mathematics and Mathematical Finance
     9  John's Table  John Hull  Professor, Rotman  Finance
     10  Peter and Susan's Table  Peter and Susan Christoffersen  Professor, Rotman  Finance
     11  Judy's Table  Judy Lee  VP, RBC  Commercial Financial Services
     12  Xiaobo's Table   Xiaobo Wang   Scotia   Group Liquidity
     13  清水涟漪 Lian's Table   Lian Duan   BMO  Internal Audit
     14  Yadong's Table   Yadong Wang   Scotia   Model development and Market Risk
     15  冬雪红梅 Cathy's Table  Cathy Li  Investment advisor  RBC wealth management RBC dominion securities
     16  雨后天晴 Rainbow on the Horizon   Hong Xie   Manulife   Models and Analytics/Variable Annuity Hedging
     17  我们还年轻 Cycle to work   Michael Wang   Manulife   Variable annuity hedging system solutions
     18  漫步贝街 Random Walk on Bay Street   Jie Chen   TD Securities  Quantitative Engineering and Development
     19  大跃进 Quantum Leap   Joe Lu   Consulting   Investment Banking
     20  骑行天下 Cycle Mania   Tao Wang   Aon Consulting   Variable annuity hedging system solutions
     21  大甩卖 Big Short   Yicent Chen   BMO   Model Vetting
     22  审之又审 Internal Audit   Yaping Jiang   TD   Audit
     23  慎之又慎Vet Again  Yeqi He   RBC   Model Vetting
     24  爱吃•爱美•爱拼 Empower Our Future   Luyang Yan   Scotia   Business Analysis
     25  贝街合唱团 Choir on Bay   Rui Pan   CIBC   fixed income analytics and data sales
     26  退役摄影爱好者 Snapshots of Bay   Daju Gu   Razor Risk Technologies   TMX Technology Solutions
     27  万锦信贷 MoneyBroker.ca  Christine Xu   Mortgage Architects   mortgage services
     28  8090后之打酱油 Beat Soy Sauce   Truman Chen   EY   Valuation and Business Modelling
     29  金融IT Rock to Gold   James Shen   CPPIB   Portfolio management and Analytics
     30  峭壁临风Margin Calls   Alan Xiang   TDAM   Performance Analysis
     31  始于足下All about Assumption   Laurent Wu   Scotia   Model Vetting
     32  安居乐业Your Home, My Work   Derek Jing   CIBC   Mortgage Origination
     33  无债一身轻No Leverage   Jennie Wang   TD   Asset/Liability Management
     34  风华正茂We are the One   Owen Ou   CIBC   Capital Markets Risk Management
     35  消费者红娘 Enlight   Mia Wang   LoyaltyOne  Consumer engagement strategies/CPAC training
     36  背包客之 I love travel   Angela Yang  CIBC  product management
     37  Qian's Table   Qian Jin   CIBC   Enterprise Risk Management
     38  Rebecca’s Table  Rebecca Pang  CIBC  Channel Strategy and Analytics
  • 27 Nov 2015 9:01 PM | Siyao He (Administrator)

    You must have experienced this: you come to a party without really knowing whos who.  You are seated to a table, hoping someone will open the chitchat.  Then you find everyone is doing the same thing, feeling awkward not knowing how to start a conversation.  You look around and notice a few special tables with prominent guests but you have no clue who they are and how to approach them.  You leave feeling a bit of loss: why am I coming to this party in the first place?

    Not in this party!  In this years Bay Street Chinese Xmas Party, we shall have around 40 named tables, each hosted by the head of that table.  Check them out below.  Would you still feel at loss how to break the ice?

    So if you feel you could identify with some head of table, if you feel it would be just fun simply to find out what the table is about, or if you feel you now have an urge to table-hop and propose a toast, join us at the party! 

    Simply go to http://theccfa.net/event-2069380/Registration to register your name and email address!  Then forward the receipt or digital ticket to Jinke (xmas.jinke@gmail.com) and reserve your desired tables.  You need to submit at least three tables names and it will be offered as First-Come-First-Served!  Of course you can opt to keep the suspense and find out your table when you check in at the door.

    Yes, its that simple!


    Table Name

    Head of Table


    Main Function


    VIP Table

    Dianna Zhang


     Economic Capital and Capital Efficiency 


    VIP Table

    Houben Huang


    Model vetting


    Media Table





    Ian's Table

    Ian Michael

    Partner, McCarthy Tetrant LLP

    Business Law


    Geff's Table

    Geoffrey Rubin

    Managing Director, CCPIB

    Total Portfolio Management


    Chris's Table

    Chris Gibson

    TD Securities

    Fixed Income, Currencies, & Metals


    Eric's Table

    Eric Xiao

    Partner, Ernst & Young LLP

    Transaction Advisory Services


    Luis's Table

    Luis Seco

    Professor, UofT

    Mathematics and Mathematical Finance


    John's Table

    John Hull

    Professor, Rotman



    Peter and Susan's Table

    Peter and Susan Christoffersen

    Professor, Rotman



    Judy's Table

     Judy Lee

    VP, RBC

     Commercial Financial Services


    Xiaobo's Table

     Xiaobo Wang


     Group Liquidity


    清水涟漪 Lian's Table

     Lian Duan


    Internal Audit


    Yadong's Table

     Yadong Wang


     Model development and Market Risk


    冬雪红梅Cathy's Table

    Cathy Li

    RBC dominion securities, wealth management

    Financial advisor 


    雨后天晴Rainbow on the Horizon

     Hong Xie


     Models and Analytics/Variable Annuity Hedging


    我们还年轻 Cycle to work

     Michael Wang


     Variable annuity hedging system solutions


    漫步贝街 Random Walk on Bay Street

     Jie Chen

     TD Securities

    Quantitative Engineering and Development


    大跃进 Quantum Leap

     Joe Lu


     Investment Banking


    骑行天下 Cycle Mania

     Tao Wang

     Aon Consulting

     Variable annuity hedging system solutions


    大甩卖 Big Short 

     Yicent Chen


     Model Vetting


    审之又审 Internal Audit

     Yaping Jiang/Ti Wang


     Audit/Structured finance


    慎之又慎Vet Again

    Yeqi He


     Model Vetting


    爱吃爱美爱拼 Empower Our Future

     Luyang Yan


     Business Analysis


    贝街合唱团 Choir on Bay 

     Rui Pan


     fixed income analytics and data sales


    退役摄影爱好者 Snapshots of Bay

     Duan Qian


     Financial Engineering


    万锦信贷  MoneyBroker.ca

    Christine Xu

      Mortgage Architects

     mortgage services


    8090后之打酱油 Beat Soy Sauce

     Truman Chen


     Valuation and Business Modelling


    金融IT Rock to Gold

     James Shen


     Portfolio management and Analytics


    峭壁临风Margin Calls

     Alan Xiang


     Performance Analysis


    始于足下All about Assumption

     Laurent Wu


     Model Vetting


    安居乐业Your Home, My Work

     Derek Jing


     Mortgage Origination


    无债一身轻No Leverage

     Jennie Wang


     Asset/Liability Management


    风华正茂We are the One

     Owen Ou


     Capital Markets Risk Management


    消费者红娘 Enlight

     Mia Wang


    Consumer engagement strategies/CPAC training


    背包客之 I love travel

     Angela Yang


    Product management


    Qian's Table

     Qian Jin 


    Enterprise Risk Management


    Rebecca's Table

    Rebecca Pang


  • 07 Nov 2015 10:47 PM | Siyao He (Administrator)

    CCFA Lunch & Learn Speaker Series

    Title: The Art and Science of Valuation

    Time: Friday, 27 November 2015 from 12:00 PM to 1:00 PM (EST)

    Location: East York Room, 2nd Floor, 4 King Street West, Toronto, ON, Canada

    Speaker: Rebecca Pang, Senior Director of Channel Strategy and Analytics, CIBC

    Registration link: https://www.eventbrite.ca/e/ccfa-lunch-learn-speaker-series-the-art-and-science-of-valuation-tickets-19427121042

    Audience are encouraged to bring their own lunch.

    Valuation matters more than ever – valuing a company before you make a stock investment, valuing a franchise business for purchase, watching the recent booming of M&A with valuations getting back into the dangerous zone, etc. This talk will explore the arts and science sides of the valuation and will provide participants with a practical insight into business valuation. You will learn about various valuations tools, business valuation interpretation as well as the mechanics of the valuation process. We will also explore different career paths of valuation professionals.

    Speaker’s Bio:

    Rebecca Pang is the senior director of channel strategy and analytics for CIBC, where she leads the retail channel analytics team to develop and evaluate strategic programs or initiatives related to integrated channel strategy. Prior to the current role, Pang was working in the mergers and acquisitions, investment banking and Strategy & Corporate Development teams at CIBC. Pang has also worked as a senior manager for T-Mobile USA, an investor relations officer for China Netcom in Beijing and a business analyst for McKinsey and Company in Hong Kong.

    Pang earned her honor’s bachelor of business administration from the Chinese University of Hong Kong, and then served as an HSBC scholar at Columbia University. She received her MBA from Stanford University’s Graduate School of Business and later earned her Chartered Financial Analyst and Chartered Business Valuators designations.

    Pang currently serves as a member of the Dean’s Advisory Council for the Ted Rogers School of Management of Ryerson University, and a board member for the Toronto chapter of the Multiple Sclerosis Society.

  • 05 Nov 2015 11:18 PM | Siyao He (Administrator)




    • 今年晚宴的场地有一个很大的lobby和bar service,可供大家晚宴前后充分地自由交流
    • 主持人介绍嘉宾和嘉宾代表致辞会尽量采用多媒体,内容更加简要丰富而时间更加紧凑
    • 晚会和晚宴自始至终的背景音乐都会很轻柔,为各位聊天寒暄提供方便
    • 取消往年的CCTV春晚式表演栏目;改设内容相关、大家都可以参与的、充满正能量的评比和奖励活动。评奖由各位晚会参与者通过手机上的app现场投票,根据得票数量多少来决定,保证公正和公平。具体评比项目包括:
    o    2015 CCFA追求幸福奖(The pursuit of Happiness Award- 你一定有过这样的时刻:历经艰苦跋涉,你终于登顶,回望来路,心中充满无比自豪;你彻夜不眠,暝思苦想,终于灵光一现,欣喜若狂;一个大胆设想,诱惑你倾注所有,废寝忘食,执意向前,终于收获无穷的笑脸,熟悉的和陌生的。幸福是什么?就是在你追求自己的梦境后的那种自豪,那种欣喜,以及那些围绕你的笑容。跟我们分享你的那一时刻吧!我们鼓励CCFA成员毛遂自荐或举荐候选素材。一经CCFA晚会筹备委员会审议通过后,我们会协助设计并录制不超过2分钟的视频介绍你自己2015年的一个真实故事,来记录CCFA会员超越自我、自强不息、丰富多彩的加国人生轨迹
    o    2015 CCFA导师百花奖(Most Popular Mentor Award-  你是否有过导师在你迷茫的时候,无论是生活上,还是工作上,为你指点迷津? 你是否有过MENTOR在连你自己都不相信自己的时候一直坚定的鼓舞你鞭策你? 在过去的一年里,你的生活中是否有过这样一个人,做过这样的一些事,让你真心的想说声感谢?   欢迎大家踊跃向CCFA晚会筹备委员会提名,并说明提名的理由。
    o    2015 CCFA圣诞晚会最优雅女士奖(Best Dressed Lady Award- CCFA保留节目 - 巧笑倩兮,美目盼兮,华服灿灿,欢聚一堂。摒弃平日的灰黑兰,show出你最闪亮的风姿风采!
    • 当然少不了我们的另一个保留节目,压轴大合唱。今年我们会安排一次晚会前的Kala合练,让大家提前熟悉歌词韵律,希望踊跃报名。





    如果您入行不久,等待事业起飞;或者正在寻找你的dream job或者创业的idea,你不妨鼓起勇气加入我们,多和那些热心的过来人请教和切磋。或许哪位高人点拨你几句,就能省去许多黑暗中的盲目摸索和弯路。

    最后,别忘了和我们一起参与晚会的压轴节目 – 大合唱《难忘今宵之 – “贝街雄风”》。那种畅快淋漓、豪情满怀的感觉,只有亲身参与过才会知道。。。



    • 1.       参赛资格:CCFA活动的积极参与者或者贝街从业人员,而且必须出席当晚的晚会
    • 2.       参赛资格和内容审议委员会:CCFA晚会筹备委员会
    • 3.       参赛报名截止日期:November 13, 2015
    • 4.       报名形式:
    a.        追求幸福奖:可以自荐或推荐,附以推荐人的姓名性别,联系方式,以及被推荐人的故事概要(what was the context, what was the motivation, what have you done and what were the outcome, and finally what one could learn from it)
    b.       导师百花奖:推荐,附以推荐人的姓名性别,联系方式,以及被推荐人的主要事迹(what did he or she do and what difference did that make)

  • 12 Aug 2015 10:57 PM | Siyao He (Administrator)

    After the delivery of Fundamental Review of the Trading Book on April 16, 2015, CCFA Risk Study group held the fourth study session. The topic is Enterprise Wide Stress Testing (EWST) on August 12, 2015. It was an honour to invite three experienced practitioners in the field of stress testing to lead the round table discussion. They are: Xiaobo Wang, Director in Liquidity Management at Scotiabank, Jeff Xue, Senior Director from CIBC and Beizhen Lei, Senior Manager of BMO Model Risk Validation. Yicent Chen, Model Risk Specialist from BMO was the facilitator. Other practitioners from leading Canadian financial institutions also joined the discussion and exchanged their views on the industry practice.

    The discussion started from a high-level overview of the stress testing practice, including the objectives, approaches and components. Stress testing is a key risk and business management tool to identify and quantify key risks and assess capital adequacy during stressed periods. There are two approaches commonly used for stress testing: A top down approach starts with a systematic adverse scenario defined by the regulator and assesses the impact of such scenario on bank’s financial statements. This approach enables the regulator to assess impacts across different banks under adverse scenario. On the other hand, a reversed approach starts with defining a severely stressed outcome of the bank and then identifies the scenarios that would cause such severe loss. This enables a bank to tailor the stress testing practice to its unique business exposures. Components of stress testing include risk components (credit risk, counterparty credit risk and market risk) as well as stress scenarios (US recession, Emerging Markets, crude oil, etc.).

    Then the discussion leads to a closer look on the methodology of corporate credit stress testing, especially the methodology of Probability of Default (PD) stress testing. Stress testing models are built with internal or external historical rating and default data. The conditional transaction matrix approach is commonly used for PD stress testing. Under this approach, first transition matrices are constructed with chosen horizon based on historical data. Then a summary statistic, such as downgrade and default probability (DDP) is constructed to measure the changes in the transitions. After that an econometric model is developed to relate the summary statistic to relevant macroeconomic/financial variables. Finally a stress transition matrix is derived corresponding to the model predicted DDP for a macroeconomic scenario.

    The discussion concludes with some cases studies in actual stress testing practice of the banks. It is pointed out that stress testing should be viewed as a system instead of individual components/models. By the end of the day, stress testing seeks to answer the question of financial statements projection under adverse scenarios. Knowledge of business, accounting, strategic planning as well as risk management should be integrated for a meaningful stress testing practice. Stress scenario could potentially affect both asset and liability side on the balance sheet. Output analysis is valuable in the aspect of assessing out-of-sample model performance as well as soundness of model methodology.

    The participants in the discussion also exchanged opinions on data collection, modelling methodology and implementation of stress testing. Topic for next study session will be operational risk.    

    在就交易账户(trading book)市场风险研讨后,CCFA2015812日迎来了第四次风险管理研讨会,课题是企业整体压力测试。我们有幸请到了在这一领域的几位资深从业者领导讨论,他们是Scotia Bank流动性风险管理主管Xiaobo WangCIBC高级主管Jeff XueBMO高级经理Beizhen LeiYicent Chen担任本次讨论的主持。来自各大金融机构其他与会者也就本议题参与讨论,提供专业见解。


    随后,与会者就信用风险的压力测试,即违约概率的压力测试进行了深入讨论。压力测试模型是基于金融机构内部或者外部的历史数据构建的。条件转移矩阵是业界常用的违约概率压力测试的建模方法:首先在给定历史时期,基于历史数据我们可以得到信用评级的转移矩阵。该矩阵可以被一个代表性的变量,降级和违约概率(downgrade and default probability)所表征。随后我们建立计量模型,使用该变量随后作为被解释变量, 宏观或金融数据作为解释变量,并进行预测。最后通过预测值,我们可以推导出在压力情景下的条件转移矩阵。


    与会者也就数据采集,模型方法和实施等方面交换了意见。 下次研讨会的议题是运营风险。

  • 14 May 2015 11:43 PM | Yadong Wang (Administrator)

    “Think Asia, Think Hong Kong” Symposium (Open for registration)

    Organized by the Hong Kong Trade Development Council (HKTDC) and supported by over 40 Canadian multipliers, the symposium aims to encourage and facilitate Canadian companies to diversify their business to Asia and meet potential investors in a strategic way. In particular, the Finance/Renminbi Breakout Session in the afternoon will be most relevant for your associates and members. Registration is complimentary, grateful for your help to pass the message to your members and encourage them to attend this not-to-be-missed symposium! Below please find the details and an eDM link for your information and use.

    Date:                   June 8, 2015, 8:45 am – 5:30 pm

    Venue:                The Fairmont Royal York Hotel, Toronto

    Programme:       http://www.thinkasiathinkhk.com/2015/en/info_programme.html

    eDM:                    http://info.hktdc.com/dm/cp1448223/index_en.html

    Admission Fee:   Complimentary


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