Stress Testing Programme

DAY ONE - Monday 22 June 2009

8.30 Registration and coffee

9.00 Integration of stress testing across all risk types

  • Executing an integrated risk framework
  • Combining market, credit and liquidity risk to achieve robust methodologies

Ina De Vry, FS Banking and Capital Markets, Partner, PRICEWATERHOUSECOOPERS

10.30 Morning break

11.00 Validating business impact analysis and risk assessment through stress testing

  • Business continuity management as a Basel II requirement
  • Fundamental principles in developing a business impact analysis
  • Identification of corporate assets and exposures
  • Risk assessment as an approach to manage risks
  • How stress testing can be used to identify and quantify impacts from different scenarios

Nalin Wijetilleke, President ISACA UAE Chapter & Manager Business Continuity Management, ISACA UAE Chapter/ RAKBANK

12.30 Lunch

13.30 The use of stress testing and integration in risk governance

  • Purpose and use of stress testing
  • Principles
  • Implementing a more senior management involvement to oversee stress and scenario tests

Fatima Shaik, Senior Manager, FIRST RAND BANK

15.00 Afternoon break

15.30 Stress testing for market risk

  • Realism and fantasy in stress tests
  • Quantification and qualification
  • Using historical scenario analysis for measuring market risks
  • Using stress testing to measure and manage all material sources of market risk
  • Stress tests and basis risks
  • Aggregation and correlation of stress tests
  • Integrating market and credit risk stress testing

Eben Mare, Associate Professor, UNIVERSITY OF PRETORIA

17.00 End of day one

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DAY TWO - Tuesday 23 June 2009

8.30 Registration and coffee

9.00 Macroeconomic stress testing

  • One-factor Merton model and Vasicek distribution
  • Probability of default model based on macro-economic factors
  • Conditional portfolio loss distribution
  • Explained vs. unexplained systemic risk
  • Case study

Urbanus Human, Credit Risk Analyst, ABSA

10.30 Morning break

11.00 The importance of capital planning stress testing

  • Identifying a more comprehensive assessment of material risks
  • What capital resources are required in stressed conditions?
  • How will capital adequacy be affected under various stress scenarios
  • Are contingency plans in place to ensure capital remains appropriate for the level & nature of risk?

Charles Mavimbela, General Manager, Operational Risk, IMPERIAL BANK

12.30 Lunch

13.30 Stress testing of listed and unlisted equity portfolios

  • Purpose of stress testing
  • Interpretation and actions
  • A walk through the equities asset class
  • Material aspects of distress

Peter Blenkinsop, Group Consultant: Market and Investment Risk, FIRSTRAND BANK

15.00 Afternoon break

15.30 Practical approaches for stress testing liquidity risk

  • Differentiating funding liquidity risk and asset liquidity
  • Liquidity risk stress testing and regulatory guidance
  • Integrating stress testing frameworks to include liquidity risk
  • Building scenarios to cover liquidity

Anny Pachyannis-Alman, General Manager: Group Market Risk Monitoring, NEDBANK

17.00 End of course