Enterprise-Wide Risk Management & Stress Testing

This programme is only available on in-company basis. Please, contact us for more information

Course Description

Since risk management has been formalised within Basel Accords, stress-testing has invariably been an after-thought. It has been hijacked by the accrued necessity to watch liquidity risk, therefore inducing banks into forgetting that stress-testing is, at any time, a good managerial practice. Most banks undergoing a real-life stress scenario reveal that their preparation, if any, was insufficient or at best optimistic, weaknesses have been put to light, and lessons have been learnt the hard and costly way.

In this practical 2 day course we distinguish between different types of stress-tests, between the useful ones and the costly ones, the regulatory and management ones, and run through the processes of selection, application, communication and learning from those scenarios. You will have a chance to analyse different real life challenges and explore the ways to overcome them.
 
Taught by an experienced banking practitioner and consultant with over 20 years of practice, the programme includes many case studies and exercises allowing you to get take away tools and strategies. 
 
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Register for 2 programmes at the same time and save £100. 

 

What Will You Learn

By the end of this course you will: 

  • Learn how to develop stress-testing models
  • Understand Basel II & III requirements for stress-testing 
  • Learn how to carry out stress testing on an enterprise wide scale
  • Understand how stress tests can be used as an effective risk management tool
  • Understanding of the data demands of stress testing 
  • Learn how to identify weaknesses in stress testing models 
  • Be able to apply the stress-testing and scenario analysis: methodologies and structures

Main Topics Covered During This Training

  • Defining stress-testing
  • Stress-testing under Basel II and III
  • Market risk scenarios
  • Credit risk scenarios
  • Operational risk scenarios
  • Implementation of VaR/ES
  • Processes, systems and controls
  • Stress-testing and scenario analysis; methodologies and structures
  • Case studies and group discussions

Who Should Attend

Banking and finance professionals involved in:

  • Market Risk Management
  • Credit Risk Management
  • Operational Risk Management
  • Risk Methodology 
  • Risk Analysis 
  • Model Validation 
  • Regulatory and Economic Capital Basel III 
  • Counterparty Risk 
  • Stress Testing 
  • Internal Audit
  • Finance and Treasury 
  • Regulation  Compliance 
  • Financial Institutions Advisory
  • Bank Supervision 
  • Bank Regulation 
  • Financial Stability and Economic

In-Company, call us for more information

Enterprise-wide Risk Management & Stress Testing - A 2 Day Training Course

DAY 1

What is stress-testing
 
  • Concepts and classifications of risk
  • Routine risks and extreme risks
  • Enterprise-wide risk management
  • Internal and macro-scenarios
  • Uses and abuses

 

Extreme risk regulation before Basel III

  • Regulatory view on risk
  • What was missing in Basel II; the 2007 crisis
  • Stress-testing and practices
  • Lending principles and their consequences
  • Subprime and unruly waters
  • What should not have happened
 
Stress-testing in Basel II and III
 
  • Sources - The Basel papers
  • The new principles
  • The influence of liquidity risk
  • The new priorities and focus
  • Stress-testing, latest version
Pillars 2-3 and stress-testing
 
  • Capital Conservation
  • Treatment of SIFIs
  • Home supervisors, Host supervisors
  • Distribution and compensation policies
  • Model validation and model risk
  • Supervisory enforcement of capital conservation discipline
  • Risk governance

 

DAY 2

Market risk scenarios
 
  • Banking book and trading book
  • Interest Rate risk in the banking book
  • Implementation of VaR/ES
  • VaR and ES shortcomings: the normality assumption and others
  • Extreme market risks
  • Time series breakdowns; black swans
  • Review of a few scenarios
 
Credit risk scenarios
 
  • Capital requirements and their applicability
  • Credit crises and contagion
  • Credit risk to the test of confidence crises
  • Review of a few scenarios
 
Operational risk scenarios
 
  • The principles applied to extreme risks
  • Processes, systems and controls
  • Operational risk management tools & techniques
  • Loss event data and time series
  • Business process and data dependencies
  • Process-based risk management
  • Review of a few crisis scenarios
 
Stress-testing and scenario analysis; methodologies and structures
 
  • Regulatory and managerial principles
  • Stress-testing methodologies and processes
  • The data challenge
  • Scenario selection
  • Internal and external communication
  • Use of stress-testing and integration in risk governance
  • The rewards of stress-testing
 
Case studies and group discussions will be performed each day:
 
  • Selection of scenarios
  • Stress-testing in an international bank

 

The Course Director is a Financial Risk Management Consultant with an international expertise in Risk Management methodological frameworks. His experience spans some 20 years, advising banks, software houses and others on risk management. The Course Director holds various degrees from London Business School, with post-graduate studies at the Technische (then West)-Berlin and Keio (Japan) universities. He is a published author on risk management and Basel Accords, and a regular speaker at conferences.

The client list includes ABN Amro, Barclays, CDC Paris, Credit Suisse, DePfa, Deutsche Bank, a few City hedge funds, IBM Consulting, Sungard, Lloyds TSB, National Bank of Egypt, the UK Regulatory body (then FSA, now PRA), Reuters, Singer and Friedlander and numerous other institutions of various countries and sizes. In addition to that, he runs training courses and workshops with participants from various banks around the world.

Enterprise-Wide Risk Management & Stress Testing <p>Since risk management has been formalised within Basel Accords, stress-testing has invariably been an after-thought. It has been hijacked by the accrued necessity to watch liquidity risk, therefore inducing banks into forgetting that stress-testing is, at any time, a good managerial practice. Most banks undergoing a real-life stress scenario reveal that their preparation, if any, was insufficie ... In-Company