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Global Markets & Time Zones
CPEs:
Instructor:
Dennis Cox
Level:
Intermediate
Tuition:
£2,995.00
Stress Testing and Scenario Modelling RM028
Location: Global Markets & Time Zones
First Date: May 20 - 22 2024
Duration: 3 days
Programme Director: Dennis Cox FCA FCISI FISRM AIIA BFP BSc
All Dates & Locations
Venue Details
Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco by Webex via Risk Reward.
All our 2023 Virtual Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.
Need to bring this course in-house, Face-to-Face on site or even a 1:1 tutorial? Simply contact us for significant cost savings and dates to meet your specific requirements.
Agenda Highlights
Session 1 – Introduction to Stress Testing & Scenario Modelling
Session 2 – Stress Testing in Practise
Session 3 – Market Risk Scenario Modelling
Session 4 – Liquidity Risk Stress Testing
Session 5 – Credit Risk Scenario Modelling
Session 6 – Operational risk scenario modelling
Session 7 – Detailed modelling for Operational Risk
Session 8 – Severe Business Continuity Planning
Overview
The Basel Accord has raised the profile of severe event planning within a risk framework. There are a range of challenges within the Accord where financial service firms will need to implement new types of modelling techniques. One of the most important of these is scenario modelling, which applies within credit, market and operational risk areas.
Who Should Attend
Banking and Financial Services Regulators
Risk management professionals
Internal Auditors
Business Managers
Additional Course Information
What Does It Cover?
Session 1 – Introduction to Stress Testing & Scenario Modelling
- What is stress testing?
- Scenario modelling, sensitivity analysis and stress testing
- Rules from the Bank for International Settlements (BIS)
- The key risks in banking
- The role of the Board & corporate governance
Session 2 – Stress Testing in Practise
- What are banks currently doing?
- What brings down a bank?
- Examples & Case Studies
- What else can cause stress in a bank?
- Lessons from Covid era
- Lessons from the 2008 Financial Crisis
- Examples of escalating and developing risk
- Impact on contingency planning
- What are the tell tale signs that a bank is under stress?
- What are the questions that you should be asking?
- How much stress testing should a firm conduct for their own purposes?
- Development of integrated stress tests
Session 3 – Market Risk Scenario Modelling
- How to develop plausible scenarios
- Scenario modelling for market risk
- How to develop typical scenarios
- How to build market risk scenario modelling into a risk framework
- Case Study: Practical application of market risk scenario modelling
Session 4 – Liquidity Risk Stress Testing
- How to develop plausible stress tests
- Scenario modelling for liquidity risk
- Movement of capital under stress
- Use of reserve lines
- How to develop typical scenarios
- How to build liquidity risk scenario modelling into a risk framework
- Case Study: Practical application of liquidity risk stress testing
Session 5 – Credit Risk Scenario Modelling
- Scenario modelling for credit risk
- How to develop typical scenarios
- Portfolio analysis and concentration
- Economic modelling
- How to build credit risk scenario modelling into a risk framework
- Case Study: Practical application of credit risk scenario modelling
Session 6 – Operational risk scenario modelling
- Lessons from major disasters
- How to deal with scaling
- How to deal with data relevance
- How to include operational risk scenario analysis within an Advanced Measurement Approach Framework
- Case Studies: LTCM, Enron and other major financial failures and the development of relevant scenarios
Session 7 – Detailed modelling for Operational Risk
- How to use routine published events
- How to develop a scenario suite
- Frequency of scenario modelling
- Reporting scenario modelling
- Case Studies: Consideration of published events and development of relevant scenarios
Session 8 – Severe Business Continuity Planning
- Scenario modelling and business continuity planning
- What is a severe event and the Basel requirements
- Developing a graduated response plan
Case Studies: Consideration of specific potential business continuity issues and development of relevant responses
Learning Objectives
Course participants will gain an appreciation of the importance of scenario modelling, how it is to be undertaken and how it is built into a total risk framework.
Social Learning & Methods
Registration
Stress Testing and Scenario Modelling
Course Fee
Course Fee (per person):
GBP £2,995.00 (+ UK VAT when applicable)
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