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Bank Stress Testing

An in-depth workshop on bank capital stress-testing, applying both econometric and fundamental stress models to the major retail and corporate banking credit risks, as well as stressing market and operational risks.

The stress-testing models that are developed during the course can be used for banks’ Pillar 2 Internal Capital Adequacy Assessment Process (ICAAP) and Supervisory Review and Evaluation Process (SREP), as well as for external, supervisor-driven and investor-driven stress tests.

Throughout the programme participants develop the different modules of a stress test of a large bank, culminating in a complete stress-test model. Case studies explore various approaches from a number of European, US and Asian banks.  

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  • Date:
  • 19th - 20th August 2019
  • Venue:
  • Cliftons Singapore - The Finexis Building
  • Fee:
  • US$1695 per day

This course is also available in London and New York

This course is FTS-Eligible* and also eligible for 16 CPD hours. GARP & CFA Institute members are eligible for 16 CE/CPD credits. See details

Who The Course is For

  • 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

Learning Objectives

  • 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

Prior Knowledge

  • Basic understanding of financial statements
  • Familiarity with Microsoft Excel

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*FTS Eligible
This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met. Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants' business activities or job roles. The FTS is available to eligible entities, at a 50% funding level of programme fees subject to all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with the specified validity period. Please refer to www.ibf.org.sg for more information.