Stress-Testing Credit, Market and Operational Risk
A Three-part Online Training Program
Date: 13th - 15th October 2021
Stress-testing is essential to banks and regulators. It forms the backbone of a bank’s ICAAP (Internal Capital Adequacy Assessment Process), and answers whether a bank could withstand extreme but plausible scenarios which would impact its profitability, liquidity, and capital adequacy. However, stress-testing is complicated. It requires an integrated approach dealing with how scenarios should be selected and calibrated, and how scenarios are translated into financial impact whilst respecting the interrelationships between risk types.
This course has been designed for practitioners needing to understand how to implement and/or improve stress-testing frameworks in their banks. Since credit risk is central to the business models of most financial institutions, the course first takes a deep-dive into credit risk stress-testing by building trajectories of PDs (probabilities of default) based on stress scenario parameters, and translating these into financial impact by applying the staging rules of IFRS9. Stress-testing scenario of market risk is illustrated by explaining and numercially illustrating how losses are determined for interest-rate risk in the banking book, FX exposures, equity portfolios, and bond investments. Operational risk stress-testing is illustrated and explained for high-frequency low impact events and low-frequency high impact events.
The course provides significant opportunity for discussion and questions, and is aided most importantly by clear illustrations and examples which assist in learning several different methodologies and techniques which can be immediately and directly applied in practice.
Key Learning Objectives and Takeaways:
1 participant: RM1,995/$550
2 participants: RM3,990/$1,100
3 participants: RM5,985/$1,650
4 participants: RM7,980/$2,200
5 participants: RM9,975/$2,750
Early Payment Discount: Payments made on or before 6th October 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.
If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
Learn More
Send me Details
For enquiries please contact:
Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44
Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810
For sponsorship & speaking opportunities:
Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802
For marketing and media enquiries
Govina Selvanthran
Marketing Manager
[email protected]
Direct Line: +603 2162 7800 ext 22
Send me Details
Stress-testing is essential to banks and regulators. It forms the backbone of a bank’s ICAAP (Internal Capital Adequacy Assessment Process), and answers whether a bank could withstand extreme but plausible scenarios which would impact its profitability, liquidity, and capital adequacy. However, stress-testing is complicated. It requires an integrated approach dealing with how scenarios should be selected and calibrated, and how scenarios are translated into financial impact whilst respecting the interrelationships between risk types.
This course has been designed for practitioners needing to understand how to implement and/or improve stress-testing frameworks in their banks. Since credit risk is central to the business models of most financial institutions, the course first takes a deep-dive into credit risk stress-testing by building trajectories of PDs (probabilities of default) based on stress scenario parameters, and translating these into financial impact by applying the staging rules of IFRS9. Stress-testing scenario of market risk is illustrated by explaining and numercially illustrating how losses are determined for interest-rate risk in the banking book, FX exposures, equity portfolios, and bond investments. Operational risk stress-testing is illustrated and explained for high-frequency low impact events and low-frequency high impact events.
The course provides significant opportunity for discussion and questions, and is aided most importantly by clear illustrations and examples which assist in learning several different methodologies and techniques which can be immediately and directly applied in practice.
Key Learning Objectives and Takeaways:
This two-part training program will be delivered online through a stable, secure and free-to-access platform. The program itself will be delivered through lectures, worked examples and case studies in order to ensure a detailed and practical understanding of the program content. Participants will have plenty of opportunity to ask questions and interact with the program director. Login details and program materials will be sent to participants upon receipt of payment
1 participant: RM1,995/$550
2 participants: RM3,990/$1,100
3 participants: RM5,985/$1,650
4 participants: RM7,980/$2,200
5 participants: RM9,975/$2,750
Early Payment Discount: Payments made on or before 6th October 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.
If you are looking for an in-house training program or wish to send a group to an existing public program, kindly please contact Andrew Tebbutt at [email protected] or +603 2162 7802.
Learn More
Each session will be interactive in a seminar format, with participants encouraged to engage with questions throughout.
This two-part training program will be delivered online through a stable, secure and free-to-access platform. The program itself will be delivered through lectures, worked examples and case studies in order to ensure a detailed and practical understanding of the program content. Participants will have plenty of opportunity to ask questions and interact with the program director. Login details and program materials will be sent to participants upon receipt of payment
Dr Ken Baldwin
Former Director, Financial Policies & Planning, Islamic Development Bank
Dr. Ken Baldwin has worked as a practitioner in banking and finance for over 25 years in senior positions spanning the front and middle offices. Having graduated from Oxford University with a first-class honors degree in Physics in 1989, he qualified as a Chartered Accountant with PWC, before joining UBS, and then later Credit Suisse, in derivatives risk and control functions based in London.
He gained a PhD in the microeconomic theory of risk sharing in Islamic contracts, and worked in the GCC for 15 years in Islamic retail and Islamic investment banks. Whilst at Abu Dhabi Islamic Bank, Dr. Ken built an ALM analytic technology platform capable of capturing liquidity and interest rate risks inherent in the many varied Islamic financing products used at retail and corporate levels. He then moved to take up the position of MENA Regional Head of Quantitative Analysis for Citigroup. At Citicorp, Dr. Ken worked on structuring complex products used by Gulf-regional corporations to hedge FX and interest risks. Still residing in Bahrain, Dr. Ken then joined Investcorp, where he worked on the risk due diligence of corporate private equity and real estate private equity transactions and portfolio management. After leaving Investcorp, he set up the risk management department for venture capital bank, providing Basel III compliance and deal analysis for the bank. He then operationalized a new Islamic investment bank as its Chief Operating Officer for 3 years, before his most recent industry role at the Islamic Development Bank, where he set up and ran a new department tasked with developing Financial Policies and Planning underpinned by robust financial analytic tools and methodologies designed specifically for the IDB. Dr. Ken is currently a senior university lecturer in finance in the UK. He has published quantitative finance articles in peer-reviewed academic journals including the Journal of Risk, and during his earlier career, taught CFA and FRM professional certifications as a pastime for the Bahrain Institute of Banking and Finance.
Ken is a British Muslim.
For enquiries please contact:
Normariya Sariman
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 44
Ramesh Kalimuthu
Events Sales Director
[email protected]
Direct Line: +603 2162 7800 ext 65
Fax: +603 2162 7810
For sponsorship & speaking opportunities:
Andrew Tebbutt
Managing Director
[email protected]
Direct Line: +603 2162 7802
For marketing and media enquiries
Govina Selvanthran
Marketing Manager
[email protected]
Direct Line: +603 2162 7800 ext 22