| COURSE : CERTIFIED STRESS TESTING AND RISK REGULATION PROFESSIONAL | |
|---|---|
| Course Overview | This economics and finance course surveys developments in prudential risk regulation with emphasis on stress testing as the primary tool of regulation. This course will explain the motivations for changes to the capital accords from Basel I to Basel III. |
| Training Duration | Total Training Hours : 30 Hours Training Duration : 1 Week Total Training Days : 5 Working Days |
| Training Schedules | Weekdays (Sunday to Thursday) Regular Sessions : 6 Hrs Per day (9am to 2pm or 3.00pm to 9.00 pm) Food & refreshments Included WeekEnds (Friday & Saturday) Fast Track Sessions: 8 Hours per day (9am to 5pm) Food & refreshments Included |
| Certifications: | 1) Certificate from Laurels Training Institute, Attested by Knowledge & Human Development Authority (KHDA) government of Dubai, UAE - With Online Worldwide recognition facility 2) Certificate from American Institute of Professional Studies (AIPS) from USA (After 15 Days of course Completion which will couriered to the attendees office address) - With Online Worldwide recognition facility |
| Tests | Yes |
| Learning Aids | Yes |
| Course Material | Hard & Soft Copies of Study Material |
| Language of Instruction | English |
| Instructor Helpline | Yes 1. Email 2. Social Media (For Emergency requirements) |
| Registration Requirements | 1. Passport Copy 2. Curriculum Vitae 3. Passport size photographs 4. Course Fee |
| Mode of Payment: | Cash / Cheque / Credit Card / Bank Transfer. |
| Eligibility Criteria (Who should attend this training) | Stress testing staff at banks Capital management staff Treasury/ALCO staff Quants Risk management staff Senior management Bank supervisors and resolution authorities Bank equity and credit analysts and portfolio managers |
| Course Benefits | Build a complete bank capital stress test model, encompassing both econometric and fundamental models of retail and corporate credit risk, market risk and operational risk Learn how to apply the model for any of Internal Capital Adequacy Assessment Process (ICAAP), external supervisor-driven stress tests or investor-driven stress tests Review the various approaches taken by different banks and supervisors in their capital stress testing, from a range of European, US and Asian banks |
| Course Contents / Outline | Stress-Testing Motivation And Applications What is stress-testing – capital vs liquidity stress-testing? Motivation for stress-testing – internal vs external supervisory and external investor purposes; business-as-usual vs stressed conditions; bottom-up vs top-down Stress tests as a comprehensive and fully integrated, quantitative health assessment of banks as distinct from partial CAMEL-based approaches Role of stress-testing in Internal Capital Adequacy and Assessment Process (ICAAP), Supervisory Review and Evaluation Procedure (SREP) and setting of Pillar 2 capital requirements, as well as in business planning Banking system-wide stress tests, both in business-as-usual and stressed conditions. The increased role of external stress tests post crisis Stress Test Model Building Blocks Understanding and modelling pre-provision operating profits Understanding loan loss and other asset provisioning Understanding and modelling the balance sheet Understanding and modelling regulatory capital Linking the income statement, balance sheet and regulatory capital models
Loan Loss Provisioning Non-performing exposure and forbearance loan definitions – threshold criteria; entry and exit; borrower group perimeter. Definitional differences across banks Understanding loan losses – loan loss provisions, loan loss reserves, write-offs and recoveries Loan loss provisioning under IAS 39 vs IFRS 9 – moving from an incurred loss model to an expected credit loss model
Performing The Capital Stress Test – Retail Lending Stress scenario construction and choice of stressed capital threshold Segmenting the loan book Linking macroeconomic and bank-level variables. Peer benchmarking Econometric techniques for stress testing Stressing loan loss provisions for retail portfolios – residential mortgages Stressing loan loss provisions for retail portfolios – consumer finance Failed bank historical data – sanity check
Performing The Capital Stress Test – Corporate/SME Lending Stressing loan loss provisions for corporate/SME portfolios Stressing identified problem segments. Examples – commercial real estate (CRE); commodities Failed bank historical data – sanity check
Performing The Capital Stress Test – Market Risk And Operational Risk Stress testing market risk Stress testing operational risk
Performing The Capital Stress Test – Completing The Test Inputting stressed loan loss provisioning results into the stress test model Interpretation and application of capital stress test results Reverse stress tests
Stress Test Case Studies – Investor-Driven Stress testing Chinese banks – Industrial & Commercial Bank of China Ltd; Bank of China Ltd; China Construction Bank Corporation; Agricultural Bank of China Ltd Stress testing Standard Chartered Plc Stress testing HSBC Holding Plc Stress testing Banca Monte Dei Paschi di Siena SpA " |