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Stress testing the financial sector

Qualitative

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  • General description

    Stress testing is part of banks’ own risk management as well as of the toolkit of bank supervisors. During the crisis, stress tests became a successful tool to provide insight into bank capitalization and deploy countermeasures for addressing potential shortfalls. Post-crisis, stress testing is gradually moving back to its “peace time” function, that is to identify potential vulnerabilities in hypothetical adverse conditions.

    This course will cover the history, the main policy issues and the tools needed for stress testing. We will draw from the European and the US, from private and public sector experience. Deep dives will allow to understand better key aspects of stress testing such as scenario design, modelling of credit losses, data needs and management, interaction with prudential and accounting standards.

    Tailored sessions will be covered by senior experts from the public and private sector, with extensive experience in stress testing.

  • Topics covered

    • Historical overview on stress testing during the crisis
    • Horizontal review of stress testing in the US and EU
    • Scenario design
    • Credit, market and counterparty credit risk stress testing
    • Accounting and prudential aspects
    • Data needs and management in stress testing

  • What you will learn

    • Have an understanding of the history and institutional frameworks for stress testing, as well as the main pillars of stress testing in the EU
    • Have an understanding of the objectives, key methodological choices of and tools for stress testing
    • Have acquired practical skills to both conduct/execute and analyse banks stress tests
    • Have created a network of professionals working on similar topics and facing similar problems

  • How the course will work

    Total course length: 12 hours.

    The two-day course will run over three days (half-a-day, a full day, half-a-day), mostly in seminar style with active student participation. Along with the main training sessions there will be also case studies, possibly with the use of real life data, as well as keynote lectures and deep dives on some specific aspects of stress testing.

    Tailored sessions will be covered by senior experts from the public and private sector, with extensive experience in stress testing.

    A certificate of attendance will be provided to all participants after the course.

  • Meet the instructors

    Til Schuermann is partner at Oliver Wyman and Co-Head of Risk and Public Policy practice for the Americas. Til advises private and public sector clients on stress testing, capital planning, enterprise-wide risk management, model risk management, and corporate governance including board effectiveness. He previously served as Senior Vice President at the Federal Reserve Bank of New York where he held numerous positions, including head of Financial Intermediation in Research and head of Credit Risk in Bank Supervision. Schuermann is a member of the Federal Reserve Bank of New York’s Financial Advisory Roundtable, serves on the advisory board of the NYU Courant Institute Mathematical Finance program, and is a Research Fellow at the Wharton School. Til has a PhD in economics from the University of Pennsylvania and a BA (with honours) in economics from the University of California at Berkeley.

    Mario Quagliariello is the Director of the Economic Analysis and Statistics Department at the European Banking Authority. The Department is in charge of the analysis of risks in the EU banking sector and stress testing. The Department also holds responsibility for the statistical tasks carried out by the EBA and runs the impact assessments of regulatory measures. He previously served as Head of the Risk Analysis Unit at the EBA and as a Senior Economist at Banca d’Italia. Mario has published articles in international journals and edited the volume Stress Testing the Banking System: Methodologies and Applications, published by the Cambridge University Press. For Riskbooks, he co-edited the volume Basel III and Beyond and edited Europe’s New Supervisory Toolkit: Data, Benchmarking and Stress Testing for Banks and their Regulators. He holds a BA in economics with honours from the University “La Sapienza” in Rome and a Ph.D. in economics from the University of York.

    Klaus Duellmann is Head of SSM Risk Analysis Division within Directorate General Micro-Prudential Supervision IV of the European Central Bank in Frankfurt. Until May 2014 he was Head of Supervisory Coordination and Risk Analysis Division and Head of Banking Supervision Research in the central office of the Deutsche Bundesbank in Frankfurt. Currently his main areas of work are related to horizontal risk assessments of SSM banks, in particular supervisory stress tests. He has a PhD in Finance from the University of Mannheim.

  • Prerequisites

    Undergraduate or graduate degree. Knowledge of general principles and applications of risk management. Exposure or working experience in stress testing would be an asset.

  • Fees

    1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions

    1900€ – Private Sector

    1000€ – Academics (Assistant, Associate or Full Professors)

    850€ – Students (with certificate of studies)

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.


    GROUP DEALS

    • In case of registration of 3 participants from the same organisation, the course fee is waived for one of them.
      To benefit from the deal, the names of the 3 participants have to be communicated to fbf@eui.eu before registering. We cannot communicate the names of other registered people from the same institution (it is upon your responsibility to get in touch with your HR division). A single debit note will be issued for the 3 participants followed by one payment.
    • Special deals apply for larger groups.

    CANCELLATION POLICY

    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who have not yet paid the registration fee can cancel their participation until one month before the start of the course.
    • The registration fee is non-refundable, however it will be possible to transfer registration to another person or request a voucher for another FBF course up to 20 days before the start date of the course.

    For more details, please contact fbf@eui.eu
  • Practical information

    Accommodation 

    Please notice that the course dinner, and most of the social activities, will take place downtown.

    Recommended hotels nearby the EUI:

    Recommended hotels in downtown Florence:

    Suggested restaurants in Florence city centre

    Wi-Fi

    On arrival, participants will be provided with temporary wi-fi access for the whole duration of the course.

    Privacy Notice

    The personal information you have provided will be processed in compliance with the EUI Privacy Statement for conferences. For general queries: fbf@eui.eu

     

    General information on local transport

    From Florence airport:

    Florence airport is located 8 km from the city centre, approximately 30 minutes by taxi or bus. Taxis can be found outside the arrivals terminal; no reservation is needed. A taxi ride from the airport costs about €20 and takes approximately 25/30 minutes.

    A tramway (line T2) connects the airport to the city centre. Trains leave from the airport terminal and take 20 minutes to the main railway station. One-way tickets can be bought from vending machines for €1.50.

    The airport is also connected to the main railway station in Florence by a shuttle bus (‘Vola in bus’) that leaves every 30 minutes (on the hour and on the half-hour) and takes 25 minutes. Tickets are available on board for €6.00.

    From the central railway station:

    Take bus n. 7 at the bus stop Stazione Nazionale in the direction “Fiesole Piazza Mino”, get off at the stop ‘San Domenico 01’. For bus routes and timetables consult the official timetable.

    Bus tickets are sold outside the railway station, at ATAF ticket kiosks and vending machines, tobacconists (tabacchi), newspaper kiosks (edicole), and most cafes (bar). They must be bought before boarding and stamped using the machine on the bus. A ticket costs €1.50 and it is valid for 90 minutes. Bus tickets can be purchased also on board (€ 2.50), but the driver is not obliged to give change.

    Private car

    From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the city centre/Stadio. Follow the directions to the stadium (Stadio), then for Fiesole. San Domenico is on the main road to Fiesole.

    The EUI has several free parking areas available all over the Campus.

  • Course material

    Registered participants can access the course material using the password provided by the FBF secretariat.