Introduction to Stress Testing
This course surveys the tools and techniques employed in conducting stress tests.
CPE Credits: 7
This course is a component of the Risk Management Professional Certificate.
Prerequisite knowledge:
- Basic MS Excel skills
- Basic probability and statistics
- Basic knowledge of financial securities and markets
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
Module 1: Stress Testing Concepts
- Scenario analysis: Historical vs. hypothetical
- Algorithmic / mechanical stress tests
- Factor push
- Maximum loss
- History of stress testing at financial institutions
- Reverse stress testing
- Augmenting Value at Risk with stress tests
Module 2: US Regulatory Stress Tests
- 2009 Supervisory Capital Assessment Program (SCAP)
- Dodd-Frank Act Stress Test (DFAST) and Federal Reserve Comprehensive Capital Analysis and Review (CCAR)
- Methodology
- Scenarios
- Applying scenarios – from scenarios to the capital ratios
- Scope of work
- Implications for capital and the business model of a financial intermediary
- Critique: Do the CCAR/DFAST stress tests reduce risk?
Module 3: Regulatory Stress Testing in other Jurisdictions
- UK: Bank of England (PRA) stress tests
- EU: European Banking Authority (EBA) stress tests
- Japan, Hong Kong, Sweden, Ireland