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Integrated Stress-testing for Financial Institutions: Credit, Market, Operational & Liquidity Risks
A 12-hour, online training program

Date:  15th, 16th, 17th & 19th August 2022

COURSE INTRODUCTION

Stress-testing is essential to banks and regulators. It forms the backbone of a bank’s ICAAP (Internal Capital Adequacy Assessment Process), and answers a simple question: can a bank survive extreme but plausible scenarios which adversely impact its profitability, liquidity, and capital adequacy? However, stress-testing is complicated. It requires an integrated approach starting with how scenarios should be selected and calibrated, and how these scenarios ultimately translate into financial impact whilst respecting the various interrelationships between different types of risks.

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 starts by taking a deep-dive into credit risk stress-testing by building an evolution of PDs (probabilities of default) based on stress-testing scenarios, and then translating scenario parameter values into financial impact using the staging rules of IFRS9. Stress-testing for market risk is explained by using numerical illustrations of how losses are determined for interest-rate risk in the banking book, FX exposures, equity portfolios, and bond investments. For operational risk stress-testing, the course shows how to capture high-frequency low impact events as well as low-frequency high impact events. Liquidity risk stress-testing is also explained, including how to embed the impact on bank survival of an inability to refinance funding liabilities when credit conditions deteriorate.

The course provides significant opportunity for discussion and questions, and is aided most importantly by clear illustrations and numerical examples which assist in learning several different methodologies and techniques that can be immediately applied in practice.

  • Key Highlights:
    • Learn essential methodologies applied by banks for integrated stress testing
    • Understand techniques which translate stress testing scenarios into their resulting impact on bank earnings, liquidity, and capital adequacy
    • See in detail how stressed losses arise and how they are calculated for credit risk, interest rate risk in the banking book, FX exposures, equity portfolios, bond investments, and operational risk.

Fee

1 participant: RM2,900/$750
2 participants: RM5,800/$1,500
3 participants: RM8,700/$2,250
4 participants: RM11,600/$3,000
5 participants: RM14,500/$3,750

Early Payment Discount: Payments made on or before 8th August 2022 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

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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

seminar logo

Integrated Stress-testing for Financial Institutions: Credit, Market, Operational & Liquidity Risks
A 12-hour, online training program

Date:  15th, 16th, 17th & 19th August 2022

7.00am - 9.00am
UK
10.00am - 1.00pm
UAE
2.00pm - 5.00pm
Singapore/KL

Send me Details

COURSE INTRODUCTION

Excessive credit growth is at the heart of all financial crises. Relaxed lending conditions often lead economies to overheat, resulting in speculative bubbles and over indebtedness. When economic conditions deteriorate and obligors become distressed, banks cut their losses and make new credit far harder to obtain, thereby exacerbating a contraction in the real economy that has already started. This economic scenario is exactly what regulators and central banks wish to avoid. It is also a scenario that creates unnecessary losses for banks that do not know how to minimize risk through proper credit evaluations prior to lending, nor how to effectively monitor obligors to reduce credit risk on an ongoing basis up to maturity. These activities are all the more important given credit risk has no observable price, unlike market risk, which is therefore more easily managed.

This course offers a valuable and timely opportunity for banking practitioners to gain knowledge and skills which can be directly applied in practice to strengthen their bank’s credit risk measurement frameworks and credit risk management initiatives. The course details contemporary techniques covering how credit risk arises at the product level, and how it can be measured and managed within both retail and corporate banking businesses. The course also provides a deep dive into internal models used by banks to manage and price risk in order to minimize capital charges, as well as coverage of external credit rating agency (ECAI) models applied by S&P, Moody’s and Fitch to rate banking entities and individual bond issuances (including Sukuk).

The course includes a high level of interaction and practical instruction that allows delegates to implement skills and techniques learned on the course in everyday use.

  • Key Highlights:
    • Understand how credit risk arises for a variety of products in the retail and corporate banking books.
    • Learn how to measure credit risk using an array of techniques ranging from traditional single obligor credit assessment to more advanced portfolio credit risk models.
    • Appreciate the methods used by ratings agencies to establish credit ratings at entity and bond/Sukuk issuance levels.

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 12-hour, online 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: RM2,900/$750
2 participants: RM5,800/$1,500
3 participants: RM8,700/$2,250
4 participants: RM11,600/$3,000
5 participants: RM14,500/$3,750

Early Payment Discount: Payments made on or before 8th August 2022 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./p>

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AGENDA AND FORMAT

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

PLATFORM

This 12-hour, online 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

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 and combine the impacts of different risks on a bank?
How do we build informative and useful stress scenarios?
How can we calibrate normal versus stressed scenarios and appropriately distinguish them from each other?
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) and the loan-loss reserve
  • 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 periods of market turmoil

Day 2: Market 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
  • Net Interest Margin (NIM) compression during interest rate stresses
  • Impact of interest rate stress scenarios on the growth of the banking book
Calculating the impact of market risk 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

Day 3: Operational Risk and Liquidity Risk

What is operational risk and why does it need including in integrated stress-testing?
Calculation methods for operational risk stress-testing
  • High-frequency low impact events
  • Low-frequency high impact events
How to use Business Continuity Plans (BCP) and Disaster Recovery (DR) to inform the building and application of operational risk stress-tests
Changes to operational risk analytics in the Basel III 2017 reforms
How is liquidity risk captured within an integrated stress-testing framework?
How can refinancing risk be quantified within an integrated stress-testing framework?
Which liquidity metrics should we use to quantify the impact of stress-testing scenarios on bank liquidity: stock measures versus flow measures

Day 4: Integrated Stress-testing Case Study

A comprehensive case study is presented which brings together all of the learnings from the course in one place to provide a clear visualization and easy understanding of how integrated stress-testing is performed in practice
The case study includes:
  • a complete walkthrough from A to Z of stress-testing techniques for credit, market, operational and liquidity risk
  • a full numerical illustration of stress-testing calculations all the way from scenario development through to determining the ultimate impact of stress-testing scenarios on the bank’s financial performance, financial position, and viability.

EXPERT COURSE DIRECTOR


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 microeconomics, and worked in the GCC for 15 years in retail and 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 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 derivatives products used by Gulf-regional corporations to hedge FX and interest rate 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 risk-based pricing of the bank’s Islamic financing products. Dr. Ken is currently an Assistant Professor of Finance in the UK. He has published quantitative finance articles in peer-reviewed academic journals including the Journal of International Financial Markets Institutions and Money, and 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.

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

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

About Us

REDmoney Events designs, organizes and hosts industry-leading conferences, forums, roadshows and seminars focusing on the Islamic financial markets across a global, regional and national level.

+603 2162 7800
[email protected]

Our Publications

  • Islamic Finance news
  • IFN Investor
  • IFN Sustainable
  • IFN Fintech

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