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Basel 2 - Stress testing for capital planning

  

 

 
STRESS TESTING FOR CAPITAL PLANNING

Duration  : 3 days

Open        : 19 - 21 April 2019

 

 

 

   

CONTENT

 

 

COURSE OUTLINE

 

 

Day 1

1. What is stress-testing
• Concepts and classifications of risk
• Routine risks and extreme risks
• Enterprise-wide risk management
• Internal and macro-scenarios
• Uses and abuses
• Regulatory and managerial stress-testing
2. Extreme risk regulation before Basel III
• Regulatory view on risk
• What was missing in Basel II; the 2007 crisis
• Stress-testing and practices
• What should not have happened
3. Stress-testing in Basel II and III
• The Basel papers
• The new principles
• Influence of liquidity risk
• Priorities and focus
• Stress-testing, latest version
4. Pillars 2-3 and stress-testing
• Capital Conservation
• Treatment of SIFIs
• Model validation and model risk
• Supervisory enforcement
• Risk governance

 

 

 

 

 

 

 

 

 

 

 

 

Day 2 

5. Regulatory stress-testing: the different approaches
• Sources: the papers
• Scenarios
• Specific requirements
• Disclosure
• Area-specific requirements (EBA, Fed, etc.)
6. Market risk scenarios
• Banking book and trading book
• Interest Rate risk in the banking book
• Implementation of VaR/ES
• VaR and ES shortcomings: the normality assumption and others
• Extreme market risks
• Time series breakdowns; black swans
• Review of a few scenarios
7. Credit risk scenarios
• Capital requirements and their applicability
• Credit crises and contagion
• Credit risk to the test of confidence crises
• Review of a few scenarios
8. Operational risk scenarios
• The principles applied to extreme risks
• Processes, systems and controls
• Operational risk management tools & techniques
• Loss event data and time series
• Business process and data dependencies
• Process-based risk management
• Review of a few crisis scenarios

 

 

 

 

 

 

 

 

Day 3
9. Analysis of a specific scenario
• The story
• Antecedents
• Knock-on effects and aftermath
• Influences on a given bank’s portfolios and activities
• Calibration
• Potential countermeasures
10. Stress-testing and scenario analysis: methodologies and structures
• Regulatory and managerial principles
• Stress-testing methodologies and processes
• The data challenge
• Scenario selection
• Internal and external communication
• Use of stress-testing and integration in risk governance
• The rewards of stress-testing
11. Case study
12. Examination
     Case studies and group discussions will be performed each day.

BENEFIT

• Apply risk management and financial techniques to effectively create stress scenarios and estimate capital requirement for the banks
• Understand and practice the elements needed to measure risk and to comply with Basel accords
• Be equipped with the tools to prepare stress test

WHO SHOULD ATTEND

• Risk managers, Auditors
• Investors
• Basel project team, Financial team

TESTIMONIALS

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was  organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

 If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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STATISTIC AND RISK MODELLING

 

STRESS TESTING

 

INTERNAL CREDIT RATING MODELS

 

DERIVATIVE AND PRICING

 

MARKET AND LIQUIDITY RISK MANAGEMENT

 

APPLICATION OF SPSS IN FINANCIAL FORECAST

 

APPLICATION OF SPSS IN RISK MODELLING

CREDIT RISK PORTFOLIO MANAGEMENT

 

ASSET LIABILITY MANAGEMENT & FUNDS TRANSFER PRICING

 

MARKET RISK MANAGEMENT

 

OPERATIONAL RISK MANAGEMENT

 

CREDIT RISK MANAGEMENT

 

COUNTER PARTY RISK MANAGEMENT

 

 

 

 

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