Applied Regulatory Stress Testing Techniques

This course will provide course participants with an overview of the applications of techniques used to address regulatory stress testing requirements for banks. Common governance frameworks informed by regulatory guidance and best practices are reviewed. The issues associated with obtaining the necessary data and making reasonable assumptions are explored. Modeling techniques used to assess market, credit, and other risk factors are described at a high level. Finally, issues associated with interpreting model output and ensuring proper reported are discussed.

Course Objectives

By the end of the course, the participants will be able to:

• Discuss the current regulatory requirements and guidance for stress testing
• Describe at a high level the necessary components of a stress testing framework
• Assess the key factors involved in developing, implementing, and using forecasting models for stress testing
• Explain the role of model validation and the independence required for this process to be effective
• Evaluate common issues with data gathering and reporting of results

Suggested Prerequisites:

• Capital Adequacy (CCAR) and Stress Testing (DFAST) or equivalent knowledge

Program Level: Intermediate

Advance Preparation: None

Computers and Financial Calculators: Calculators

Recommended CPE Credits: 7