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.
This course addresses current underlying regulatory approaches to market, credit, operational, liquidity – and other types of risk. The historical background will be established (why was Basel necessary in the first place?) and the timeline examined to contextualise developments and changed in the accords along the way.