Integrated Stress-testing for Financial Institutions

Integrated Stress-testing for Financial Institutions: Credit, Market, Operational & Liquidity Risks
Online training program

Date: 13^th - 16^th May 2024

COURSE BACKGROUND

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. This is done 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 arise from 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. Practical considerations focused on ESG stress-testing are also included.

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 and Learning Outcomes:
- 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

Fee per participant: RM3,750/$1,250

Discounts are available for group bookings. Please contact us for more details.

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:

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

Integrated Stress-testing for Financial Institutions: Credit, Market, Operational & Liquidity Risks
Online course

Date: 13^th - 16^th May 2024

7.00am - 10.00am
UK

10.00am - 1.00pm
UAE

2.00pm - 5.00pm
Singapore/KL

COURSE BACKGROUND

Key Highlights and Learning Outcomes:
- 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.

Program Format

This four-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

Fee per participant: RM3,750/$1,250

Discounts are available for group bookings. Please contact us for more details.

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

A four-part online 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

The program is highly interactive and will encourage participation through exercises and case studies that the delegates will solve individually or in small workgroups. These activities are designed to allow delegates to practice and to consolidate the concepts that will be discussed during the lectured sessions of the program. The program will focus on the practical realities of the market, rather than taking an excessively mathematical or academic approach.

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
- How to incorporate ESG risks in the stress-testing framework.

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:
  - High-frequency low impact events
  - Low-frequency high impact events
- 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

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.

Presentation materials: – important, please read carefully

as part of our sustainability drive, we offer standard access to an electronic version of the course materials. A hard copy of the materials can be provided for a fee: RM100 per copy for Malaysia-based participants; US$150 per copy for all other locations.

Please tick here should you wish to receive a hard copy of the course materials.

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:

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