Basel ii Compliance Professionals Association
(BCPA)the largest
association of Basel ii Professionals in the worldCourse TitleCertified Stress Testing Expert -
Prep CourseOverview:"Our
client, a world leader in professional and advisory services,
seeks a Risk Management Professional with knowledge in Stress
Testing to join its prestigious Risk Management Advisory Team... " More
and more banks and financial organizations respond to the regulatory
guidelines in the USA, the European Union, the Middle East, the
Pacific Rim and around the world, and
hire risk and compliance managers and professionals with an
understanding in stress testing. They are not
looking for mathematicians.
They are looking for professionals that can join the risk
management teams that perform the financial stress testing
exercises.
There is strong demand for jobs in the it sector, and for a good
reason: After the release of bank stress test results around the
world, bank stocks are racing ahead, prompting investors to jump
in.
Stress testing can not be ignored after the market crisis.Objectives:This
course has been designed to
provide with the knowledge and skills needed to understand and
work in
Financial / Regulatory Stress
Testing projects.The
course provides with the skills needed to pass the Certified Stress
Testing Expert (CSTE) exam.
Target Audience:
This course is not for mathematicians and
modelling experts. It is intended for all managers
and professionals from Banks, Financial Institutions,
Multinational Corporations and Supervisory Agencies who need to
understand and implement the financial / regulatory stress testing
exercises and
become Certified Stress
Testing Experts (CSTEs).
This course is highly recommended
for:
All Managers and
Professionals involved in Basel ii projects (decision making and
implementation)
Financial
Industry Professionals (not mathematicians) that need to deal with
regulatory stress testing
Risk Managers and
Officers
Compliance Managers
and Officers
Analysts
Auditors
Management
Consultants
Course
Synopsis:
Introduction to Stress Testing
Value at Risk (VaR): What is expected under
normal market conditions
Stress Testing: What is expected under
extreme market conditions
What is stress testing?
What is financial stress testing?
Scenario tests
Sensitivity tests
Historical scenarios
Hypothetical scenarios
Regulatory Stress Tests
Financial Sector Assessment Programs (FSAPs)
Stress testing at major financial institutions: Survey results,
Bank of International Settlements
From the Value at Risk to Stress Testing
Standard Normal Distribution
"We are seeing things that were 25-standard deviation moves
several days in a row"
Stress Testing in the Basel ii Framework
Lessons learned from the previous crisis
Lessons learned from the current crisis
Stress-testing and the Basel ii Framework after the G20 meeting
in London
Stress-testing methodologies from the Bank of International
Settlements
Principles for sound stress testing practices and supervision
from the Bank of International Settlements
Financial Stress Testing and the Committee
of European Banking Supervisors (CEBS)
Financial Stress Testing in the USA
Final Supervisory Guidance
Case Study
The Supervisory Capital Assessment Program (SCAP)
Stress Testing: Challenges,
Difficulties and Opportunities
Model Uncertainty
Data Uncertainty
Procyclical or Countercyclical?
Stress Testing scenarios based on a higher correlation
environment
Correlation
Correlation Coefficient
Basel ii, Asset Correlation
Problems with Correlation
Micro stress tests
Macro stress tests
Bank of England, Financial Stability Reports
Basel II Stress Tests - Weaknesses That Led to the Turmoil
1. Use of stress testing and integration in risk governance
2. Methodologies
3. Scenario selection
4. Testing of specific risks and products
Endogenous and Exogenous Risks
Heisenberg's uncertainty principle
and stress testing
