Stress testing has increasingly become an important business tool for risk management and an integral part of the regulatory framework. Sapient’s virtual masterclass on stress testing sheds light on the multiple approaches to generating stress scenarios, simple ‘what-if’ scenarios and insightful simulation techniques by employing full structural macroeconomic models of the global economy.
The carefully curated sessions are designed to engage participants an in-depth examination of the impact on the balance sheet and P&L projections under stress scenarios through real-world scenario examples.
Apart from risk nodes exposed by near term historical data, this course enables attendees to employ stress testing to identify multiple, inter-connected risk fragments and understand their collective variables and effects; and further explore potential impact on regulatory indicators under stress scenarios. The sessions dwell deeper into exploring impact on capital ratios and the LCR and NSFR indicators of liquidity coupled with the impact of stress scenarios on IRRBB (interest rate risk in the banking book) and the leverage ratio.
An innovative area of focus on the course will be on coherent approaches to risk aggregation to successfully construct an economic capital number based on stressed scenarios.
This course engages participants extensively in individual and collective online group exercises and role-playing engagements based on multiple real-world scenarios and challenges.