Stress Testing Basel Regulatory Risk Models

Course Description

Stress testing is a critical and continually-developing topic within risk management. Risk measurement and management would be woefully inadequate (if not impossible) without stress testing. Stress testing is specifically required by the Basel II Accord, and is thus a constit-uent of regulatory scrutiny. Despite the importance of stress testing, it is still a developing subject, usually accompanied by a lack of understanding/knowledge of acceptable approaches.

This course addresses current thinking on stress testing and model validation. Emphasis will be placed upon the regulatory (Basel) approach to stress testing and thus the underlying regulatory approaches to market, credit, operational and liquidity risk.

Benefits of attending

At the end of the course participants will be able to:

  • Understand the relevance of stress testing and scenario generation within the context of risk management in general
  • Understand the reasons for the meltdown caused by (mainly CDOs and other structured finance products) in mid-2007 due to inadequate stress testing
  • Appreciate the role the Monte Carlo technique (for generating simulated variables) plays in stress testing and scenario generation for market risk
  • Know the details of how and when to use Monte Carlo (simulated) data and when to use purely historical data

Who Should Attend?

  • Strategic business developers
  • Risk managers
  • Risk compliance
  • Auditors
  • Portfolio analysts
For the past two years, Gary has worked as an independent consultant on projects for the European Central Bank’s TRIM (targeted review of internal models). His focus has been on quantitative credit risk assessment and management in financial institutions (principally the Basel regulatory accords).

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    R13 995.00 (Ex. VAT) (ZAR) or $970.00 (USD) (all Inclusive)

    3+ delegates: 10% group discount
    6+ delegates: 15% group discount
    12+ delegates: 20% group discount

    Event Details
    • Days
    • Start Date
      26th May 2021 09:00
    • End Date
      28th May 2021 13:30
    • Status
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      The organisers are very professional and really caring. Felt really valued as a delegate.



      The friendliness and efficiency of staff blew me away.

      Rand Merchant Bank


      I would definitely recommend this course to my colleagues and would like to attend courses that are presented by Masterclass.

      FirstRand Bank