The workshop will help participants design effective stress tests based on suitable scenarios to their respective institutions. During the workshop, participants will develop reverse stress testing algorithms and backtest them to match economically viable scenarios via in-class exercises using excel spreadsheets.
At the end of the two days, you will have new insight into the common challenges of stress testing, including reverse stress testing, and how to communicate results to management, the board and regulators. The information will be offered through a combination of presentations and interactive case studies.
Understand the difference between stress and scenario testing and the benefits of each
Learn how to develop reasonable tests and stress test reports
Learn how to use stress testing and scenario analysis to inform capital adequacy and integration into the bank’s ICAAP
Effectively communicate results to management and the board
Explore the challenges in developing a stress testing program including the challenges of developing reverse stress tests, data, correlations and incorporating results into managing the bank
Use stress testing and scenario analysis in enterprise risk management including integrating into management decision making such as strategic planning, informing risk appetite and contingency planning
Develop a checklist with take-aways for immediate application at your institution
Understand and apply EBA Stress Testing Methodologies adapted to your institutions
Understand how to best use stress testing to transit towards IFRS9
Who is this course for?
Risk Management Professionals
Stress Testing Units Managers
Senior Executives of Banks
Management Accountants and Controllers