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New York Institute of Finance

Introduction to Stress Testing

Dec 5, 2019
New York, New York, United States
USD 1219
USD 1219 per day
Dec 5, 2019
Online
USD 1219
Feb 13, 2020
Online
USD 1097
+6 more options

How it works

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Description

This course surveys the tools and techniques employed in conducting stress tests.

This course is a component of the Risk Management Professional Certificate.

Prerequisite knowledge:

  • Basic MS Excel skills
  • Basic probability and statistics
  • Basic knowledge of financial securities and markets

CURRICULUM

Day 1

MODULE 1: STRESS TESTING CONCEPTS

  • Scenario analysis: Historical vs. hypothetical
  • Algorithmic / mechanical stress tests
  • Factor push
  • Maximum loss
  • History of stress testing at financial institutions
  • Reverse stress testing
  • Augmenting Value at Risk with stress tests

MODULE 2: US REGULATORY STRESS TESTS

  • 2009 Supervisory Capital Assessment Program (SCAP)
  • Dodd-Frank Act Stress Test (DFAST) and Federal Reserve Comprehensive Capital Analysis and Review (CCAR)
  • Methodology
  • Scenarios
  • Applying scenarios – from scenarios to the capital ratios
  • Scope of work
  • Implications for capital and the business model of a financial intermediary
  • Critique: Do the CCAR/DFAST stress tests reduce risk?

MODULE 3: REGULATORY STRESS TESTING IN OTHER JURISDICTIONS

  • UK: Bank of England (PRA) stress tests
  • EU: European Banking Authority (EBA) stress tests
  • Japan, Hong Kong, Sweden, Ireland

** WHAT YOU'LL LEARN**

  • Describe common approaches to stress testing
  • Explain challenges in designing stress test scenarios, including the problem of coherence in modeling risk factors
  • Describe the practical problems associated with conducting comprehensive stress tests for large financial intermediaries.
  • Define reverse stress testing and compare it to conventional stress tests

Who should attend

  • Risk managers analysts
  • ALCO members
  • and bank examiners

Next dates

Dec 5, 2019
New York, New York, United States
USD 1219
USD 1219 per day
Dec 5, 2019
Online
USD 1219
Feb 13, 2020
Online
USD 1097
+6 more options

How it works

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