Basel II / Basel III risk and compliance training

The associations - the Basel ii Compliance Professionals Association (BCPA) and the Basel iii Compliance Professionals Association (BiiiCPA) - develop and maintain training and certification programs and tailor-made presentations for directors, executive managers, professionals working for banks and financial organizations, consultants, vendors, service providers, auditors and legal counsels around the world. Subject matter experts review and update this body of knowledge.

For instructor-led training, you may contact Lyn Spooner at lyn@basel-iii-association.com explaining what you need, and we will contact you as soon as possible.


Course Title

Certified Stress Testing Expert (CSTE)

Objectives:

This course has been designed to provide with the knowledge and skills needed to understand and and work in financial stress testing projects. Stress testing can not be ignored after the market crisis.

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 working for Banks, Financial Institutions, Multinational Corporations and Supervisory Agencies who need to understand and implement the financial / regulatory stress testing exercises.

This course is highly recommended for:

  •  -  All Managers and Professionals involved in Basel ii projects
  •  -  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

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
  • Back testing and Stress Testing
  • Placing Stress Testing under Pillar 2
  • Improving stress-testing practices
  • Concluding Remarks
  • Case Study: Stress and Scenario Testing by the UK FSA

Reading Room
www.basel-ii-association.com/Reading_Room.htm

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