Adapting Market Risk Management Practices Amidst COVID-19
Learn what questions banking and capital markets risk managers should be asking themselves right now in terms of stress testing, scenario analysis and market risk practices in the wake of COVID.
As the COVID event began in late February and continued into March, equity prices tumbled, volatility surged, and crude oil prices dipped in to negative territory for the first time ever. The unemployment rate jumped from a 50-year low of 3.5 percent in February to 14.7 percent in April.
The EU's Basel Committee announced a delayed roll out of tough bank capital rules, while other policy makers, including the US Federal Reserve, not only issued a $2T rescue package, but later made targeted adjustments to the supervisory stress test framework to reflect even more stressful situations than were implied by current economic and banking conditions.
Increased volatility and a decline in prices across many asset classes have also impacted trading books and increased market risks, as well as counterparty credit risk and risk-weighted assets.
Join the panel discussion as they explored how capital markets participants are adapting market risk management practices amidst COVID-19. The discussion and Q&A session topics explored by the panel include:
- An examination of the current economic and market environment under COVID-19
- New approaches to stress testing, and COVID-related scenarios
- Changes to capital allocations across trading books amid stressed markets
- Impact of increased volatility and price movements of assets on RWAs
- A closer look at hedging strategies
- How banks will adapt market risk management practices going forward
Featured Speakers
As Chief Marketing Officer and Executive Vice President of Global Marketing & Corporate Communications, James leads the company’s global marketing and corporate communications efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to clients in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.
Since joining Numerix in 2008, James has launched the organization’s award-winning thought leadership program, bringing to light challenges and insights from Numerix market experts. He also hosts the Numerix Video Blog, tackling the challenges pressing the derivatives markets—from regulatory issues to trading strategies.
Prior to joining Numerix, James served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, he built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. Prior to Fitch, James was a member of the communications team at Moody's Investors Service.
Dennis Sadak
Dennis Sadak is Senior Vice President of Product Management for Numerix and oversees risk analytics, including stress testing, VaR, and market risk.
Prior to Numerix, he held several positions at MetLife, where he implemented numerous derivatives overlay strategies for their General Account portfolio and built out pricing and risk analytics for active derivatives hedging of their variable annuity program.
Mr. Sadak earned a dual degree in Mathematics and Finance from Rutgers University and is a CFA charter holder.
Ken Monahan
Ken is a Senior Analyst on the Market Structure & Technology team. Prior to joining the Firm, Ken operated a market structure consulting practice that included work in FX, listed derivatives, fixed income, and FinTech serving regulators, investors and other industry participants.
He was the global head of business development for Equities at Deutsche Bank, a role in which he addressed market structure issues in both developed and emerging markets, executing the first trades on both ISE in the United States and the DIFX in Dubai. During his tenure at Deutsche Bank, he was the co-head of N.A. equity derivatives trading.
Ken started his career working on the floor of the CBOE in Chicago for Swiss Bank O’Connor’s equity options market making group.
He is a graduate and an active alum of the University of Chicago.
Ketan Patel
Ketan B. Patel is a policy advisor and head of financial markets risk analysis in the financial markets group. He is responsible for analyzing the public policy implications of risks in financial markets and financial market infrastructures.
Patel has over 19 years of risk management, research and trading experience to this position. Most recently, he was chief risk officer of OTC Clearing and deputy group risk officer of Hong Kong Exchanges and Clearing Limited “HKEX.” He led a division of over 50 risk management professionals across China, Hong Kong, Singapore and the U.K. Prior to HKEX, Patel worked at CME Group. Additionally, he served as Vice-Chair of CCP12 and co-Chair of the CCP12 Risk Working Group.
During his career, he has managed risk through several stressed market events including COVID-19 and the 2015 Chinese Stock Market Collapse, the Lehman Brothers bankruptcy, the Global Financial Crisis of 2008/2009, Refco bankruptcy and Sentinel Investments collapse. He has also led several post-trade initiatives including HKEX’s Next Gen Risk Models of VaR and Stress Testing, Stock & Bond Connect, established new central counter parties of OTC Clear HK Ltd and LME Clear and developed the quantitative modeling and risk policy teams in the risk research department at CME.
