Basel ii
Compliance Professionals Association (BCPA)
Course Title
Certified Stress Testing Expert
Overview
"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
his 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
-
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
-
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
Join
the Basel ii Compliance Professionals Association (BCPA).
Membership is Free
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Member
Benefits
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Reading
Room
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Read
more about our Certified Basel ii Professional (CBiiPro)
program:
www.basel-ii-association.com/Distance_Learning_Online_Certification.htm
Read
more about our Certified Pillar 2 Expert (CP2E) program:
www.basel-ii-association.com/Distance_Learning_Online_Certification_CP2E.htm
Read
more about our Certified Pillar 3 Expert (CP3E) program:
www.basel-ii-association.com/Distance_Learning_Online_Certification_CP3E.htm
Read
more about our Certified Stress Testing Expert (CSTE) program:
www.basel-ii-association.com/Distance_Learning_Online_Certification_CSTE.htm
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