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.
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