Stress Testing and Scenario Analysis

This workshop illustrates how to effectively develop, design, manage, and measure a stress testing programme within an institution. Participants will develop a detailed understanding of the differences between stress testing and scenario analysis, and learn how to design scenarios that are reasonable and actionable. It will also discuss the integration of stress testing within a bank’s enterprise-wide risk management framework, with specific emphasis on strategic planning, risk appetite, capital adequacy, ICAAP, and contingency planning.

At the end of the course delegates will:

Understand the difference between stress and scenario testing and the benefits of each

Learn how to develop reasonable tests and stress test reports

Learn how to use stress testing and scenario analysis to inform capital adequacy and integration into the bank’s ICAAP

Effectively communicate results to management and the board

Explore the challenges in developing a stress testing programme including the challenges of developing reverse stress tests, data, correlations, and incorporating results into managing the bank

Use stress testing and scenario analysis in enterprise risk management including integration into management decision making such as strategic planning, informing risk appetite, and contingency planning

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