In the light of current market events and the Basel II directive, stress testing has become an imperative to achieve a robust risk management framework and a key factor in model validation. This timely 2-day training course will comprehensively cover evolving regulatory requirements and benchmarks, main issues causing model errors and how these may be prevented. You will explore tested techniques for stress testing and their applications, for example in the ICAAP. The case-study-based programme is designed to be interactive with questions encouraged throughout.
A session dedicated specifically to addressing delegate issues will ensure you raise and debate concerns within the group.
• Explore stress testing scenarios for specific and macroeconomic risks including an analysis of a case study for a mortgage portfolio
• Consider requirements for model validation from the regulator and the internal value added perspectives
• Review how to create appropriate models and elements that can distort the results including an overview of the main statistical tests, objectives, issues with data quality and stress testing
• Discuss best practice in building and validating spreadsheets |
