Stress-testing and capital planning models
View AgendaKey reasons to attend
Develop a holistic understanding of stress-testing
Explore downstream models for credit and traded risk stress-testing
Learn strategies to optimise stress-testing procedures
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About the course
Join us for this interactive virtual course, which provides participants with an intuitive understanding of stress-testing models for quants and non-technical stress-testing practitioners.
This course will provide a holistic overview of stress-testing by addressing people management, scenario modelling and stress-testing optimisation. Participants will explore the process from development through to auditing of downstream models for credit and traded risks. Led by a subject matter expert, participants will familiarise themselves with the current regulatory landscape and discuss forward-looking trends.
Participants will gain the necessary tools to link stress-testing with business as usual and discuss the practical trade-offs and considerations in the design and operation of controls relevant to stress-testing and capital planning models.
Learning objectives
- Define and validate scenario models
- Develop and use downstream credit risk stress-testing models
- Examine the controls environment in stress-testing
- Optimise the challenge and review process in stress-testing for credit and traded risks
- Manage people and stakeholders in roles related to stress-testing
- Link stress-testing with business as usual in capital and pricing
Who should attend
Relevant departments may include, but are not limited to:
- Model risk
- Pricing models
- Credit risk
- Traded risk
- Stress-testing
- Model development/validation/audit
- AI/machine learning
- Quants
- Non-technical stress-testing practitioners
Agenda
Sessions:
- Overview of stress-testing model landscape
- Scenario models
- Downstream models for credit risk stress-testing
- Downstream models for traded risk stress-testing
- Optimising stress-testing
- Managing stress-testing
- Usage of stress-testing and summary
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- The Fed’s stress test models are inaccurate. Something has to change
- Should the ECB stress-test counterparty default risks?
- Did Fed’s stress capital buffer blunt CCAR?
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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