Latest Developments and Best Practice in Stress Testing

Incisive Training
Course summary
Length: 2 days
Price: 2,299 GBP excl. VAT
Location: London
Course type: Open / Scheduled

Course Description

Latest Developments and Best Practice in Stress Testing

Latest Developments and Best Practice in Stress Testing - 2 day Course

This course is designed to provide delegates with the latest updates and methods used within stress testing. Recent regulatory increases have occurred after the financial crisis, and regulators have used stress testing as a tool that assesses capital strength and risk management of financial institutions. 

This course will give participants the knowledge to be able to prepare and understand the procedures that occur in stress testing, which will also give them the tools and skills to be able to use internally to identify any emerging risks which may be faced, giving them the ability to take pre-emptive action.

Suitability - Who should attend?

The course would be of benefit to anyone who is looking to update their knowledge on stress testing, however it may be especially relevant to those working in the following areas:

  • Risk Modelling
  • Asset Liability Management
  • Economic Capital Modelling
  • Compliance Monitoring
  • Risk Reporting
  • Market Risk
  • Credit Risk
  • Basel III Compliance
  • Treasury
  • Model Validation
  • Liquidity Risk
  • Risk Control
  • Operational Risk
  • Risk Analyst
  • Internal Audit
  • External auditors and regulators
  • Independent Validation

Training Course Content

Course content is as follows:

Day One

Regulatory Requirements

  • Experience with latest EBA Consultations and PRA
  • Where do Banks stand with CCAR - challenges, solutions, experience
  • Differences a parities with US and EU stress testing
  • Basel IV and Stress testing
  • How to deal with dual capital charges

Speaker: Benedict Roth, Senior Technical Specialist - Prudential Policy, Bank of England

Governance and decision making

  • How to embed stress testing in the decision making process
  • How big should capital buffers for stress testing be?
  • Making changes to business plans on the basis of stress testing 
  • Embedding judgment and management reaction in stress testing
  • Stress testing for risk management or capital allocation

Speaker: Heidi Steiger, Executive Director - Treasury Risk Control, UBS

Operational Aspects of Stress Testing

  • BCBS 239 and stress testing: data management, reporting, standards
  • Standardization of stress testing models, data, systems
  • How much automation do we need for stress testing?
  • What technial solutions are used for stress testing, risk aggregation and scenario analysis

Speaker: Heidi Steiger, Executive Director -Treasury Risk Control, UBS

Stress Testing Model Development

  • Full Balance Sheet stress testing
  • Overview of drivers, impacts and stress testing types
  • Sensitivity stress tests
  • Macro-economic stress tests: default, loss and migration models
  • Treasury risk modelling: interest rates, liquidity and funding risk modelling under stress
  • Benchmarking of stress test outcomes


  • Best practice in validation
  • The use of challenger models
  • How to quanatity model limitations and model risk
  • Validation tools
  • Validation frameworks

Day Two

Scenario Analysis

  • How to identify key risks in the organisation 
  • What are the relevant stress scenarios
  • How severe should a stress scenarios be?
  • Scenario design
  • Market Risk stress testing
  • How to quantify the likelihood of a scenario
  • How will the banking industry react to the current rate environment?

Speaker:Rolf Klaas, Senior Risk Modelling Expert, Dekabank

Collateral and Capital Management

  • Model differences
  • Collateral Optimisation
  • Using scenario analysis to predict and manage collateral requirements

Speaker: Julian Keenan, Head of CVA/FVA, Lloyds Bank

Operational Risk Stress Testing

  • Quantitative Vs. Qualitative models for Stress Operational Risk
  • Best practice in operational risk stress testing
  • How to use peer data for operational risk models
  • Correlations between operational risk and market events

    Liquidity Risk

    • Funding obligations under stress
    • Cost of funding risk - Regulatory requirements
    • Using historical scenarios
    • Impacts to consider
    • Institutional risks
    • Market wide risks
    • Understanding interactions with other risk types
    • Forming contingency plans for asset liquidation
    • Is stress testing a liquidity exercise
    • Contingency funding planning

    Speaker: Thomas Ralph, Head of Treasury Risk, Metro Bank


    The cost of this course is £2,299 + VAT per participant. Enquire about early bird discount.

    In-House options are also available, contact Incisive Training for more information.

    Provider: Incisive Training

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