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
- Portfolio analysts