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New York Institute of Finance

Introduction to Stress Testing

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Next dates

Jul 11
New York, New York, United States
USD 1219
USD 1219 per day
Dec 5
New York, New York, United States
USD 975
USD 975 per day

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
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