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Scenario-based Stress-testing Fee: £1,500 + VAT
London - UK
This course explains best-practice scenario-based stress-testing, beyond the regulatory perspective and with a view to immunise, as much as practicable, a financial institution from stress scenarios. This course is designed to provide participants with a view at the objectives, pits and challenges of stress-testing. It is recommended at individuals likely to participate in the internal stress-testing initiatives of financial institutions.
01 - 02 February 2018 London, Liverpool Street
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Course Director(s)
Fred Vacelet
Guest Speaker(s)
Not required
What You Will Learn  

Introduction to stress-testing and scenario analysis
➢ Benefits
➢ Recent history of stress-testing
➢ Incorporating with regulatory stress-tests
➢ Relationship to Value At Risk
➢ Types of stress and scenario testing

Why stress testing and how
➢ Internal uses
➢ Methods and pitfalls
➢ Programme management
➢ Credit derivatives

The regulatory view
➢ Regulatory texts
➢ Priorities
➢ Vision and results

Deriving Value ? Use Risk Management
➢ Using the results
➢ Frameworks and committees to support
➢ Informing risk appetite
➢ Strategic planning
➢ Contingency planning
➢ Capital Adequacy
➢ Pillar 2 and integration into the ICAAP


Designing and developing scenarios
➢ Relationship to macro events
➢ Historical scenarios
➢ Developing firm specific events for specific risks
➢ Ensuring consistency across risks
➢ Relationship between macro and events
➢ Impact analysis

Case Study: Revise a set of given scenarios for a private bank. Participants will go from a set of regulation-aimed scenarios to a more complete set aimed at protecting the bank against the next potential mishaps.

Communicatingthe results
➢ Reporting
➢ Incorporating with regulatory stress - tests
➢ Deriving insights and getting the buy-ins
➢ Challenges

Case Study: For a global bank, address the challenges of a set of scenarios in different areas such as dealing with resistance, legacy data, effectiveness of diversification in stress scenarios.

Developing an action plan
➢ Kicking off the project and building the necessary consensus
➢ Identifying the key stakeholders
➢ Determine the macro relationships
➢ Working together to determine the impacts
➢ Intergration into the plan
➢ Challenges

Course Overview    

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