Program Focus
To provide a comprehensive overview of stress testing
approaches
Develop quantitative techniques:
- Scenario construction
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A look at some modelling techniques: Econometric
models, vector autoregressions, Kalman Filters, stochastic
simulation, pricing options, modelling behavioural options,
non performing loans, basis risk, credit spreads.
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Mapping economic scenarios to risk factors affecting
valuations and P&L
Computation of risk metrics under stress: regulatory capital
ratios, leverage ratio, EVE, NII, LCR and NSFR.
Risk aggregation and assigning probabilities to stress
scenarios in order to compute an economic capital number