Summary: A complete stress testing exercise is more than just a numerical calculation of the impact of possible shocks. It involves choices on the coverage of institutions, risks, and scenarios; the application of a quantitative framework to link various shock scenarios to solvency and liquidity measures; a strategy for the communication of the results; and follow-up measures, if warranted. The course is designed to help participant de-mystify the large and often confusing menu of choices in each of the areas of stress testing, as well as answer questions on the interpretation of the results and their comparability. The course will also cover the ICAAP process, how it works and how supervisors and regulators should review the outcomes presented to them, covering Pillars 1, 2A, 2B and 3.
Objectives: This Course will provide participants an opportunity for in-depth discussion of practical application of capital adequacy assessment and stress-testing standards for both individual banks and the financial system. Delegates will need to be experienced in the conceptual framework of stress testing, preferably having carried out one or more aspects of stress testing, and have experience of bank capital planning processes to derive the most from the course.
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