Stress Testing – Course Outline
- The need for stress testing
- Stress testing capital
- Stress testing framework
- Stress testing methodologies for price risk, credit risk, interest rate mismatch and ALM risk
- ALM reports
Aside from the main course there are a number of annexure topics that cover the following:
- Value at Risk
- Capital and Understanding Capital Adequacy & ICAAP
- Duration & Convexity
Course Prerequisites
Familiarity with economic capital, local markets, portfolio management concepts and the Basel II framework.
Course Audience
The course is targeted at intermediate and advanced users and is aimed primarily at banking professionals who need to review stress testing material for work, professional review, audit or personal development as well as for individuals responsible for capital allocation, risk management and implementing the ICAAP framework within banks.
Course Guide
Here is the structure of the course.
Title
|
Duration
|
||
Session 1 – Introduction | 18:42 mins | ||
Session 2 – Stress Testing Capital | 26:46 mins | ||
Session 3 – Stress Testing Framework | 20:04 mins | ||
Session 4 – Introduction to Asset Liability Management (ALM) | 33:15 mins | ||
Session 5 – Interest Rate mismatch & ALM | 21:51 mins | ||
Session 6 – ALM reports and extensions | 26:59 mins | ||
Session 7 – Value at Risk | 26:59 mins | ||
|
36:06 mins | ||
|
23:39 mins | ||
|
44:52 mins | ||
|
33:00 mins | ||
|
10:00 mins | ||
Session 8 – Capital – Learning to work with capital | 41:15 mins | ||
Session 9 – Evolution of Capital Adequacy requirements | 16:32 mins | ||
Session 10 – Review of ICAAP (Internal Capital Adequacy Assessment Process) & Basel II (III) – Liquidity risk adjustments | 34:06 mins | ||
Session 11 – Understanding Duration & Convexity | 22:58 mins |
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