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Global Markets & Time Zones
CPEs:
Instructor:
Dennis Cox
Level:
Intermediate
Tuition:
£1,995.00
Stress Testing, Reverse Stress Testing RM030
Location: Global Markets & Time Zones
First Date: May 13 - 14 2024
Duration: 2 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 WebEx from Risk Reward.
All our 2023 Live, on-site and Live 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, train your team or 1:1? Simply contact us for significant cost savings and dates best suited to meet your specific needs.
Agenda Highlights
Session 1: An Introduction to Stress Testing
Session 2: The Regulatory Imperative
Session 3: Credit Risk Stress Tests
Session 4: Market Risk Stress Tests
Session 5: Liquidity Risk Stress Tests
Session 6: Operational Risk Scenario Tests
Session 7: Reporting Stress Testing
Session 8: Reverse Stress Testing
Overview
With the volatility seen in markets in recent times, regulatory and shareholder concern over risk management models has fast risen up the agendas of banks’ management. This backdrop highlights the need for strong and effective stress testing in banks and as such the course will provide delegates with a clear understanding of what credit risk testing is, why it is important and, through the use of practical examples, show how to implement meaningful and realistic stress testing. It will also consider reporting practices both for regulatory requirements and more importantly as a tool to raise awareness to a bank’s board of where significant credit risk exist within the book.
Who Should Attend
• Risk Managers
• Internal Auditors
• Business Managers
Additional Course Information
What Does It Cover?
Session 1: An Introduction to Stress Testing
• What is stress testing?
• What is reverse stress testing?
• What is the difference between scenario modelling and stress testing
• Confidence Levels
• Types of stress tests
• The relation between distributions and stress testing
• Scenario modelling, sensitivity analysis, historical vs. models
• The macro perspective and risk correlation
Session 2: The Regulatory Imperative
• BIS Principals of sound stress testing
• Other regulatory papers
• Building an integrated framework
• Relationship to ICAAP
Session 3: Credit Risk Stress Tests
• Types of credit stress tests
• Catastrophe scenarios
• How to develop typical stress tests
• How to build credit risk stress modelling into a risk framework
Session 4: Market Risk Stress Tests
• Types of market risk stress tests
• How markets move under stress
• Risk mitigation strategies
• Linkage to credit stress tests
• How to develop typical stress tests
• How to build market risk stress modelling into a risk framework
DAY 2
Session 5: Liquidity Risk Stress Tests
• Types of liquidity risk stress tests
• Reserve funding lines
• How to build liquidity risk stress modelling into a risk framework
Session 6: Operational Risk Scenario Tests
• Types of operational scenario tests
• Use of external loss data
• Lessons from major disasters
• How to develop generic scenarios
Session 7: Reporting Stress Testing
• How will stress testing be reported to management
• How to gain the attention of the Board
• Leading to action
Session 8: Reverse Stress Testing
• What is a reverse stress test?
• What is a living will?
• How will reverse stress tests be conducted?
• What are the assumptions that will be made?
• How will this be reported to management?
Learning Objectives
The objective of this course is for course participants to gain a better understanding of the techniques that are used in practice in relation to stress testing for credit risk. Delegates will also gain a better understanding as to what it really means for an institution to be under stress and what has caused institutions to fail before. The course will consider how this fits within the Basel II framework and also what actions should have been taken to prevent such failures from having occurred.
The course will focus on a series of practical case studies which will illustrate the rules and regulations and will also involve interaction by the course delegates.
Social Learning & Methods
Registration
Stress Testing, Reverse Stress Testing
Course Fee
Course Fee (per person):
GBP £1,995.00 (+ UK VAT when applicable)
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