Comprehensive Balance Sheet Stress Testing: Hands-on Masterclass with MS-Excel & R
Date: 24th & 26th September 2018 Venue: Kuala Lumpur

Bank Negara Malaysia published three documents on stress testing to reinforce the importance of stress testing. However, it is the sole responsibility of financial institutions to determine their own strategies, to design and develop stress testing methods that fit their business environment and profile.

The challenge in stress testing is that in needs deep knowledge in quantitative analysis, risk modelling and also technical acumen on statistical packages. REDmoney has designed a course to address this challenge by providing attendees with detailed understanding on stress testing from both theoretical as well as applied views. A rigorous hands-on training is followed throughout the course. The use of Excel and R provides a comprehensive framework to be directly used on a day-by-day basis.


  • Appreciate how stress testing can serve uses beyond the regulatory requirements and improve the decision making within the organization
  • Learn how to model a full business under stress
  • Spot how poorly constructed models lead to inaccurate and potentially fatal results
  • Understand how to mitigate some of the unique challenges of stress modelling
  • Review practical case studies highlighting best practice approaches to stress modelling

During the first day, macroeconomic scenarios are investigated from both an economic as well as time series (statistical) perspectives. Margin at risk and liquidity stress testing are explored through the lenses of the traditional asset and liability management framework. Case studies help consolidating the broader understanding of the key issues risk managers need to face.

A deep dive into credit risk analysis characterizes the second day. An introduction to portfolio credit risk modelling is followed by the exam of the relationships with Advanced Internal Rating Based (AIRB) modelling. Links between credit risk parameters and macroeconomic variables are studied through a series of case studies. Balance sheet is then explored both in terms of asset and liability stress testing projections as well as from a profit and loss viewpoint. On the latter, the focus is on pre-provision net revenues and credit loss projections.

During the third day, the regulatory capital analysis is conducted under stress. All key topics studied during day one and two are put into practice in order to assess the impact of adverse macroeconomic conditions on a Bank. Risk integration and reverse stress testing are finally studied as a key element of a comprehensive risk assessment process to be used both for managerial purposes as well as into the internal capital adequacy assessment process (ICAAP).