Introduction to Stress Testing

New York Institute of Finance

How long?

  • 1 day
  • in person

What are the topics?

New York Institute of Finance

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Who should attend

  • Risk managers analysts
  • ALCO members
  • and bank examiners

About the course

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

Introduction to Stress Testing at New York Institute of Finance

From  $975

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

Read more about Marketing

During Marketing courses, you will learn how to develop a business idea and create the right website to promote your product. You will gain the skills to analyze your business performance and make key decisions that improve the efficiency of your bus...

Read more about Strategy

Strategy courses contain a large amount of practice. You will be able to analyze the company's performance and make a strategic development plan. All practices are based on real cases that each of you may encounter. The courses will also introduce yo...

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