About The Course

Recent market and regulatory developments have raised the profile and importance of stress testing and scenario analysis to new heights. The purpose of this course is to diagnose the extent to which accepted stress testing techniques have been affected by the crisis and identify the actions firms can take to make stress tests purposeful, challenging and, above all, effective.

Learning outcomes

• Identify how stress testing can be used to identify and quantify impacts from different scenarios
• Implement a more senior management involvement to oversee stress and scenario tests
• Use stress testing to measure and manage all material sources of market risk
• Evaluate the one-factor Merton model and Vasicek distribution
• Understand what capital resources are required in stressed conditions
• Differentiate funding liquidity risk and asset liquidity