ADVANCED INNOVATIONS IN STRESS TESTING AND RISK MANAGEMENT
28TH JULY 2017
The Training Course
New regulatory stress-testing initiatives that have been rolled out in the European Union (EU) and the United States (US) have thrust stress-testing methodologies and frameworks into the limelight. This new, unique and innovative course will comprehensively train attendees on the latest stress testing practices and advanced innovations in stress testing methodologies. Attendees will learn how to more effectively model risk factors and related losses, how to improve the integrity and accuracy of scenario modelling, and how to interpret and transform financial stress testing data into actionable strategic management information.
SESSION 1: A Review of Stress Testing Components
- Identification of Relevant Risks, Sensitivities, Contagions and Concentrations.
- A Review of Portfolio-based, Event-based, and Bayesian Network-based approaches to developing Coherent Scenarios.
- Balance Sheet Modelling, Modelling Scenarios (market events, economic events, external events) and Metrics Impact (funding, capital, new business, portfolio).
- Calibration of Stress Testing Scenarios, Frequencies and Models.
SESSION 2: Advanced Innovations in Stress Testing Methodologies
- Identification and Impact of Appropriate Stresses, Data Flow and Reconciliation Practices.
- Documentation and Review of Stress Testing Designs and Results.
- Worst-Case Scenarios, Algorithmic and Mechanical Stress Tests (Factor Push, Monte Caro, Quasi-Monte Carlo, Loss Maximization Algorithms).
- Triangulation of Stress Scenarios and Low Pass Filtering Methods.
SESSION 3: A Review of Reverse Stress Testing Components
- Sensitivity Analysis (One Factor, Multi Factor) and Scenario Analysis (Historical, Monte Carlo).
- Aggregation of Reverse Stress Testing Scenarios and Modelling
- Micro Reverse and Macro Reverse Stress Testing.
- Designing Robustness Checks to Mitigate Model and Estimation Risk.
SESSION 4: Advanced Innovations in Reverse Stress Testing Methodologies
- Developing Precise Historical Scenarios, Hypothetical Scenarios, and Hybrid Scenarios.
- Merging Creativity, Forward-Looking Events, Non-Financial Risks, and Robust Data Processes to Identify Effective Firm Scenarios.
- Inversion Problems, Computation of Scenario Probabilities, and using Principal Component Analysis to reduce the Dimensional Complexity of a Dataset.
- Modelling Risk-Weighted Assets.
- Comprehensive understanding of stress-testing and reverse stress testing components.
- Better understanding of risk factors, thresholds, and static and dynamic analysis of stress testing macro scenarios.
- Better understanding of firm risk and how to better integrate the interpretation of stress testing data and strategic management information requirements.
- Led by two Expert Trainers who each won the prestigious 2015 Peter L. Bernstein Award for the paper 'Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach' published in the Journal of Derivatives.
Who should attend
- Chief Risk Officers
- Chief Strategy Officers
- Operational Risk Managers
- Treasury Risk Manager
- Heads of Financial Planning and Controls
- Heads of Credit Risk Management
- Heads of Regulatory Reporting
- Heads of Funds Transfer Pricing Units