CERTIFIED STRESS TESTING AND RISK REGULATION PROFESSIONAL

NAME OF THE COURSE
STRESS TESTING AND RISK REGULATION
 
CERTIFICATION
CERTIFIED STRESS TESTING AND RISK REGULATION PROFESSIONAL
 
COURSE OVERVIEW
This Course highlights on economics and finance course surveys developments in prudential risk regulation with emphasis on stress testing as the primary tool of regulation. This course will explain the motivations for changes to the capital accords from Basel I to Basel III.
 
TRAINING DURATION
Total Training Hours : 22 Hours
Training Duration      : 1 Week
Total Training  Days  : 4-5 Working Days
 
TRAINING SCHEDULE
Weekdays (Sunday to Thursday)
Regular Sessions : 4 – 6 Hrs Per day (9am to 2pm or 3.00pm to 9.00 pm)
Food & refreshments Included
Weekends (Friday & Saturday)
Fast Track Sessions: 8 Hours per day (9am to 5pm)
Food & refreshments Included
 
CERTIFICATION
Globally recognized certificate from “Kings Global Career Academy”
 
TEST
No
 
LEARNING AIDS
Yes
 
COURSE MATERIAL
Hard & Soft Copies of Study Material
 
LANGUAGE OF INSTRUCTION
English
 
INSTRUCTOR HELPLINE
Yes
1. Email
2. Social Media (For Emergency requirements)
 
REGISTRATION REQUIREMENTS
1. Passport Copy
2. Curriculum Vitae
3. Passport size photographs
4. Course Fee
 
MODE OF PAYMENT
Cash / Cheque / Credit Card / Bank Transfer.
 
WHO SHOULD ATTEND 
  • Stress testing staff at banks
  • Capital management staff
  • Treasury/ALCO staff
  • Quants
  • Risk management staff
  • Senior management
  • Bank supervisors and resolution authorities
  • Bank equity and credit analysts and portfolio managers
 
 
COURSE BENEFITS
  • Build a complete bank capital stress test model, encompassing both econometric and fundamental models of retail and corporate credit risk, market risk and operational risk
  • Learn how to apply the model for any of Internal Capital Adequacy Assessment Process (ICAAP), external supervisor-driven stress tests or investor-driven stress tests
  • Review the various approaches taken by different banks and supervisors in their capital stress testing, from a range of European, US and Asian banks
 
COURSE CONTENTS
  • Stress-Testing Motivation And Applications
  • What is stress-testing – capital vs liquidity stress-testing?
  • The motivation for stress-testing – internal vs external supervisory and external investor purposes; business-as-usual vs stressed conditions; bottom-up vs top-down
  • Stress tests as a comprehensive and fully integrated, quantitative health assessment of banks as distinct from partial CAMEL-based approaches
  • Role of stress-testing in Internal Capital Adequacy and Assessment Process (ICAAP), Supervisory Review and Evaluation Procedure (SREP) and setting of Pillar 2 capital requirements, as well as in business planning
  • Banking system-wide stress tests, both in business-as-usual and stressed conditions. The increased role of external stress tests post-crisis
  • Stress Test Model Building Blocks
  • Understanding and modelling pre-provision operating profits
  • Understanding loan loss and another asset provisioning
  • Understanding and modelling the balance sheet
  • Understanding and modelling regulatory capital
  • Linking the income statement, balance sheet and regulatory capital models
  • Loan Loss Provisioning
  • Non-performing exposure and forbearance loan definitions – threshold criteria; entry and exit; borrower group perimeter. Definitional differences across banks
  • Understanding loan losses – loan loss provisions, loan loss reserves, write-offs and recoveries
  • Loan loss provisioning under IAS 39 vs IFRS 9 – moving from an incurred loss model to an expected credit loss model
  • Performing The Capital Stress Test – Retail Lending
  • Stress scenario construction and choice of stressed capital threshold
  • Segmenting the loan book
  • Linking macroeconomic and bank-level variables. Peer benchmarking
  • Econometric techniques for stress testing
  • Stressing loan loss provisions for retail portfolios – residential mortgages
  • Stressing loan loss provisions for retail portfolios – consumer finance
  • Failed bank historical data – sanity check
  • Performing The Capital Stress Test – Corporate/SME Lending
  • Stressing loan loss provisions for corporate/SME portfolios
  • Stressing identified problem segments. Examples – commercial real estate (CRE); commodities
  • Failed bank historical data – sanity check
  • Performing The Capital Stress Test – Market Risk And Operational Risk
  • Stress testing market risk
  • Stress testing operational risk
  • Performing The Capital Stress Test – Completing The Test
  • Inputting stressed loan loss provisioning results in the stress test model
  • Interpretation and application of capital stress test results
  • Reverse stress tests
  • Stress Test Case Studies – Investor-Driven
REGISTER