Stress Testing & Scenario Analysis

Description

Could financial institutions have foreseen the credit crunch?

Was the freezing of the money markets a plausibly predictable event?

Was the demise of Lehman Brothers a contingency that could have been planned for?

Do we know where do we go with the European debt crisis?

If not, what on earth is the fundamental objective of stress testing and scenario analysis if these controls cannot save one’s institution from destruction?

This one day event examines the purpose of stress testing and scenario analysis, shares regulators’ views and requirements and describes a practical approach to this theme going forward. The course includes an analysis of the approach by the Financial Services Authority and the Federal Reserve in regulating stress testing initiatives.

Aimed At

Risk managers, compliance officers and internal auditors seeking to understand the purpose of stress testing and scenario analysis and wishing to ensure that a practical controls-orientated approach is taken to this subject.

Programme

• A philosophical overview of the purpose of stress testing and scenario analysis
• Where did stress testing go wrong – an exchange of views?
• The regulators’ current views (FSA, SEC, Fed, Basle and IIR)
• Establishing the control framework – the key ingredients
• A case study – formulating your own set of stress tests
• A review of the parameters used for recent regulatory stress tests
• Tips for Quick Wins
• A case study looking at the fragmentation of the euro.

Trainer Name

Sandro Boeri