This two-day workshop illustrates how to effectively develop, design, manage, and measure a stress testing program within an institution. Participants will develop a detailed understanding of the differences between stress testing and scenario analysis and learn how to design scenarios that are reasonable and actionable.
Additionally, this two-day workshop will discuss the integration of stress testing within your bank’s enterprise-wide risk management framework, with specific emphasis on strategic planning, risk appetite, capital adequacy, ICAAP, and contingency planning.
Specifically, the workshop will help participants to design effective stress tests based on suitable scenarios to their respective institutions. During the workshop, participants will develop reverse stress testing algorithms and back test them to match economically viable scenarios via in class exercises using excel spreadsheets.
At the end of the two days, you will have new insight into the common challenges of stress testing, including reverse stress testing, and how to communicate results to management, the board, and regulators. The information will be offered through a combination of presentations and interactive case studies.

The course will benefit credit risk and market risk professionals involved in designing or executing stress and scenario tests and interpreting the results. It will also be valuable for senior management responsible for considering the response to test results or for discussing the results with regulators.

You will:

• Understand the difference between stress and scenario testing and the benefits of each
• Learn how to develop reasonable tests and stress test reports
• Learn how to use stress testing and scenario analysis to inform capital adequacy and integration into the bank’s ICAAP
• Effectively communicate results to management and the board
• Explore the challenges in developing a stress testing program including the challenges of developing reverse stress tests, data, correlations, and incorporating results into managing the bank
• Use stress testing and scenario analysis in enterprise risk management including integrating into management decision making such as strategic planning, informing risk appetite, and contingency planning
• Develop a checklist with take-away for immediate application at your institution