Course list

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 Asia banks.  

  • Date:
  • 19th - 20th November 2018
  • Venue:
  • Central London and remotely via LFS LiveLFS Live
  • Fee:
  • £1345 per day


  • You might be eligible for preferential rates. Please contact us to check if your company is a member of the LFS Global Client Programme.

This course is also available in New York and Singapore

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

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Prior Knowledge

  • Basic understanding of financial statements
  • Familiarity with Microsoft Excel

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