Stress testing is now the key macroprudential tool that Supervisors and Central Banks use in assessing both the individual risks a firm may pose or be exposed to, as well as the system wide risks and their potential impacts. Stress testing is also commonly used to set additional capital and liquidity buffers for individual institutions.
A complete stress testing exercise is also 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. This course is designed to help participants 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 examine the latest developments in macroprudential and microprudential stress testing, including a review of commonly-used macroprudential policies, triggers for intervention, institutional mechanisms for applying policies, and macro and micro stress testing frameworks. Speakers will cover the stress testing frameworks and process in Hong Kong, Thailand, Philippines, Malaysia as well as at the Bank of England and the European Central Bank.
To teach participants the major elements of a stress-testing framework. This course will provide participants an opportunity for in-depth discussion of the practical application of stress-testing methodologies and standards for both individual banks and the financial system. It will also assist participants in understanding how, when, and what kind of macroprudential policies should be used to build up resilience of financial institutions to imbalances, asset price bubbles, and other threats to financial stability.
The course targets experienced bank supervisors working in financial stability, on-site examination, off-site monitoring, and regulatory policy development who are tasked with supervising institutions, scrutinizing the build-up of threats to financial stability and recommending or implementing macroprudential measures.
Participants should have some experience in the conceptual framework of stress testing, preferably having carried out one or more aspects of stress testing, and / or have experience in bank capital planning processes or risk areas to derive the most from the course.