Stress-Testing Credit, Market and Operational Risk

Stress-Testing Credit, Market and Operational Risk
A Three-part Online Training Program

Date: 13^th - 15^th October 2021

WHY THIS COURSE?

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:

Learn essential methodologies applied by banks for integrated stress testing
Understand techniques used to relate stress testing scenarios to their resulting impact on bank earnings and capital adequacy
See in detail how losses are calculated for credit risk, interest rate risk in the banking book, FX exposures, equity portfolios, and bond investments
Analyze a full, end-to-end case study providing a summary of techniques on credit, market and operational risk stress-testing

Fee

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 6^th October 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.

In-house/group training

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

For enquiries please contact:

Mathias Sosovele
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 25

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

Anna Rozana Ramli
Marketing Director
[email protected]
Direct Line: +603 2162 7800 ext 22

WHY THIS COURSE?

Key Learning Objectives and Takeaways:

Learn essential methodologies applied by banks for integrated stress testing
Understand techniques used to relate stress testing scenarios to their resulting impact on bank earnings and capital adequacy
See in detail how losses are calculated for credit risk, interest rate risk in the banking book, FX exposures, equity portfolios, and bond investments
Analyze a full, end-to-end case study providing a summary of techniques on credit, market and operational risk stress-testing

WHO WILL BENEFIT?

This course has been designed for practitioners, as well as academics interested in practical risk management. Practitioners most likely to directly benefit from the course include:
- Chief Risk Officers
- Chief Financial Officers
- Credit risk managers
- Market risk managers
- Operational risk managers
- Risk analysts
- Treasury analysts
- Credit risk officers
- Credit origination teams
- Credit portfolio managers
- Corporate bankers
- Retail bankers
- Internal auditors
- Central bankers

Program Format

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

Fee

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 6^th October 2021 will receive a 7.5% discount. Payments received after this date will be re-invoiced for the full amount.

In-house/group training

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

AGENDA AND FORMAT

Each session will be interactive in a seminar format, with participants encouraged to engage with questions throughout.

PLATFORM

AGENDA

Day 1: Overview, and Credit Risk Stress-testing

Overview of stress testing
- What is stress testing and why do we need it?
- Where does stress testing fit within a bank’s overall risk management framework?
How do we integrate the financial impact of different risk types to derive an overall bank-level impact profile?
How do banks build informative/useful stress scenarios?
How do banks calibrate/distinguish normal versus stressed scenarios?
Which bank-level and macroeconomic factors impact credit risk?
How do banks translate stress scenarios into credit losses?
- The application of IFRS9 in stress testing
- Calculating stressed PDs (probabilities of default) for loan-loss reserves
- Calculating stressed risk-weights for capital adequacy requirements
- The role of collateral in measuring LGDs (loss given default)
Reverse stress testing.
Evaluating spillover and financial contagion during market stress.

Day 2: Market and Operational Risk Stress-testing

Pathways to the impact of market and macroeconomic stresses on market risk losses.
Stress-testing interest rate risk in the banking book (IRRBB).
- Stressed repricing gap analysis
- NIM (net interest margin) compression during interest rate stress
- Impact of interest rate stress scenario on banking book growth
Calculating the impact of stress scenarios on FX exposures, equity portfolios, and bond investments.
How to use expected shortfall for market risk capital adequacy requirements.
Basel III 2016 market risk amendment and its relevance to stress testing.
What is operational risk?
Calculation methods for operational risk stress-testing.
- High-frequency low impact events
- Low-frequency high impact events
Use of business continuity and disaster recovery plans for stress-testing analyses.
Changes to operational risk analytics in the Basel III 2017 reforms.

Day 3: Integrated Stress-testing Case Study

A full case study is presented and explained.
The case study provides:
- A summary of techniques on credit, market and operational risk stress-testing
- A full numerical illustration of the stress-testing method from scenario development through to ultimate financial impact on the bank
The case study brings all learnings from the course together in one place to provide a clear visualization and understanding of how integrated stress-testing is performed.

EXPERT COURSE DIRECTORS

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.

WHO WILL BENEFIT?

This course has been designed for practitioners, as well as academics interested in practical risk management. Practitioners most likely to directly benefit from the course include:
- Chief Risk Officers
- Chief Financial Officers
- Credit risk managers
- Market risk managers
- Operational risk managers
- Risk analysts
- Treasury analysts
- Credit risk officers
- Credit origination teams
- Credit portfolio managers
- Corporate bankers
- Retail bankers
- Internal auditors
- Central bankers

REGISTRATION

*Please note there is a fee for attending this program. Please contact us for more details.

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Before completing this registration form please read and understand our booking and cancellation policy. Thank you.

Booking, Payment and Cancellation Policy – important, please read carefully

By completing, signing and revised, sent separately us this registration form you are conﬁrming participants on the program. You are also conﬁrming your understanding of our Booking, Payment and Cancellation Policy.

Cancellation Policy: If participants cannot attend the program, replacement participants are always welcome. Otherwise, participants must notify us any of cancellations or requests to transfer to a diﬀerent program at least 14 days before the program date to be eligible for a refund, less a 5% administration on fee. Participants who cancel within 14 days of the program start date are liable to pay the full program fee and no refunds will be given. Instead fees will be converted to a REDmoney Seminars voucher equivalent to the original fee, less a 10% administration charge. This voucher is transferable within your organization and must be redeemed within one year of issue or become void. If a program is postponed for whatever reason registrations and fees will be automatically transferred to the new program date. Participants who wish to transfer to a diﬀerent program will be subject to the same terms as above and charged any diﬀerence in fees. No refunds or program vouchers will be issued for a no-show.
Payment Terms: All program fees are payable upon invoice. REDmoney shall receive the full program fee with no deductions of any description. All telegraphic transfer fees, taxes and levies (domestic or otherwise) shall be borne by the sponsoring organization.

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CPE/CPD Applicable:

For enquiries please contact:

Mathias Sosovele
Account Manager, REDmoney Seminars
[email protected]
Direct Line: +603 2162 7800 ext 25

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

Anna Rozana Ramli
Marketing Director
[email protected]
Direct Line: +603 2162 7800 ext 22

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