Overview
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.
The primary objectives of the course are to enables the participants to:
- Gain a comprehensive overview of stress testing approaches.
- Understand and employ quantitative techniques such as:
- Scenario construction
- Multiple modelling techniques such as econometric models, vector autoregressions, Kalman Filters, stochastic simulation, pricing options, modelling behavioural options, basis risk, credit spreads.
- Mapping economic scenarios to risk factors affecting valuations and P&L.
- Compute risk metrics under stress: regulatory capital ratios, leverage ratio, EVE, NII, LCR and NSFR.
- Aggregate risk and assign probabilities to stress scenarios in order to compute an economic capital number.
- Gain exposure to and learn from real world case studies of approaches to stress testing.
- This live interactive course is designed to help you:
- Gain an understanding of the value and challenges of stress testing
- Gain theoretical and practical understanding of stress testing methodology
- Develop an effective and leakproof approach to ICAAP and ILAAP under existing frameworks of any institution
- Understand the global types of regulatory challenges and possible solutions.
- Network, benchmark yourself and share experiences with industry peers from other regions and understand their challenges and work-around solutions.
This closed door private online training is limited to a maximum of 20 participants and is especially beneficial to Analysts, Senior Executives, Vice Presidents, Directors, and Managers involved in:
- Treasury Functions
- Capital Management
- Regulatory Compliance
- Governance
- Audit
- Risk Analytics
- Market Risk Management
Course Features
- Lectures 50
- Quizzes 0
- Duration 16
- Skill level Inter+ to Adv.
- Language English
- Students 26
- Certificate No
- Assessments Yes
Curriculum
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Module 1: Introduction
8-
Lecture1.1
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Lecture1.2
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Lecture1.3
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Lecture1.4
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Lecture1.5
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Lecture1.6
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Lecture1.7
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Lecture1.8
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Module 2: Setting Macroeconomic Scenarios
18-
Lecture2.1
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Lecture2.2
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Lecture2.3
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Lecture2.4
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Lecture2.5
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Lecture2.6
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Lecture2.7
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Lecture2.8
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Lecture2.9
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Lecture2.10
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Lecture2.11
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Lecture2.12
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Lecture2.13
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Lecture2.14
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Lecture2.15
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Lecture2.16
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Lecture2.17
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Lecture2.18
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Module 3: Credit Risk and Credit Risk Weighted Assets
13-
Lecture3.1
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Lecture3.2
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Lecture3.3
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Lecture3.4
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Lecture3.5
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Lecture3.6
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Lecture3.7
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Lecture3.8
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Lecture3.9
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Lecture3.10
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Lecture3.11
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Lecture3.12
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Lecture3.13
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Module 4: Interest Rate Risk in the Banking Book
11-
Lecture4.1
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Lecture4.2
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Lecture4.3
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Lecture4.4
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Lecture4.5
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Lecture4.6
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Lecture4.7
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Lecture4.8
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Lecture4.9
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Lecture4.10
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Lecture4.11
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