Morning

SESSION 1: A Review of Stress Testing Components

• Identification of Relevant Risks, Sensitivities, Contagions and Concentrations.
• A Review of Portfolio-based, Event-based, and Bayesian Network-based approaches to developing Coherent Scenarios.
• Balance Sheet Modelling, Modelling Scenarios (market events, economic events, external events) and Metrics Impact (funding, capital, new business, portfolio).
• Calibration of Stress Testing Scenarios, Frequencies and Models.

SESSION 2: Advanced Innovations in Stress Testing Methodologies

• Identification and Impact of Appropriate Stresses, Data Flow and Reconciliation Practices.
• Documentation and Review of Stress Testing Designs and Results.
• Worst-Case Scenarios, Algorithmic and Mechanical Stress Tests (Factor Push, Monte Caro, Quasi-Monte Carlo, Loss Maximization Algorithms).
• Triangulation of Stress Scenarios and Low Pass Filtering Methods.

Afternoon

SESSION 3: A Review of Reverse Stress Testing Components

• Sensitivity Analysis (One Factor, Multi Factor) and Scenario Analysis (Historical, Monte Carlo).
• Aggregation of Reverse Stress Testing Scenarios and Modelling
• Micro Reverse and Macro Reverse Stress Testing.
• Designing Robustness Checks to Mitigate Model and Estimation Risk.

SESSION 4: Advanced Innovations in Reverse Stress Testing Methodologies

• Developing Precise Historical Scenarios, Hypothetical Scenarios, and Hybrid Scenarios.
• Merging Creativity, Forward-Looking Events, Non-Financial Risks, and Robust Data Processes to Identify Effective Firm Scenarios.
• Inversion Problems, Computation of Scenario Probabilities, and using Principal Component Analysis to reduce the Dimensional Complexity of a Dataset.
• Modelling Risk-Weighted Assets.

Key Benefits

• Comprehensive understanding of stress-testing and reverse stress testing components.
• Better understanding of risk factors, thresholds, and static and dynamic analysis of stress testing macro scenarios.
• Better understanding of firm risk and how to better integrate the interpretation of stress testing data and strategic management information requirements.
• Led by two Expert Trainers who each won the prestigious 2015 Peter L. Bernstein Award for the paper 'Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach' published in the Journal of Derivatives.     

Who should attend

• Practitioners
• Academics
• Chief Risk Officers
• Chief Strategy Officers
• Operational Risk Managers
• Treasury Risk Manager
• Heads of Financial Planning and Controls
• Heads of Credit Risk Management
• Heads of Regulatory Reporting
• Heads of Funds Transfer Pricing Units