Introduction to Stress Testing

New York Institute of Finance

ITEM RISK0104

19 Jul 2024 - 19 Jul 2024

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19 Sep 2024 - 19 Sep 2024

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21 Nov 2024 - 21 Nov 2024

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19 Jul 2024 - 19 Jul 2024

09:00 AM - 04:30 PM

$1,219.00

19 Sep 2024 - 19 Sep 2024

09:00 AM - 04:30 PM

$1,219.00

21 Nov 2024 - 21 Nov 2024

09:00 AM - 04:30 PM

$1,219.00

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17

Introduction to Stress Testing

This course surveys the tools and techniques employed in conducting stress tests.

CPE Credits: 7

This course is a component of the Risk Management Professional Certificate.

Prerequisite knowledge:

  • Basic MS Excel skills
  • Basic probability and statistics
  • Basic knowledge of financial securities and markets

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Module 1: Stress Testing Concepts

  • Scenario analysis: Historical vs. hypothetical
  • Algorithmic / mechanical stress tests
  • Factor push
  • Maximum loss
  • History of stress testing at financial institutions
  • Reverse stress testing
  • Augmenting Value at Risk with stress tests

Module 2: US Regulatory Stress Tests

  • 2009 Supervisory Capital Assessment Program (SCAP)
  • Dodd-Frank Act Stress Test (DFAST) and Federal Reserve Comprehensive Capital Analysis and Review (CCAR)
  • Methodology
  • Scenarios
  • Applying scenarios – from scenarios to the capital ratios
  • Scope of work
  • Implications for capital and the business model of a financial intermediary
  • Critique: Do the CCAR/DFAST stress tests reduce risk?

Module 3: Regulatory Stress Testing in other Jurisdictions

  • UK: Bank of England (PRA) stress tests
  • EU: European Banking Authority (EBA) stress tests
  • Japan, Hong Kong, Sweden, Ireland
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Introduction to Stress Testing

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