Stress Testing Methods
BackgroundStress testing has been a successful crisis response tool to provide insight into bank capitalisation. As countries emerge from the financial crisis, stress testing is becoming part of banks’ own risk management as well as part of the toolkit of bank supervisors. This course will cover the history, the main policy issues and the tools needed to address them. We will draw from the European and the US, from private and public sector experience.
Why this course ?We will look at stress testing from the banks’ as well as from the supervisors’ perspective. We will consider micro and macroprudential objectives. The specific topics include scenario design, modelling of losses, net revenue, and the balance sheet. We will examine required different approach for the banking vs. trading book. In addition we will consider different applications. For the supervisor/regulator, stress testing as a supervisory tool in peacetime: macro and microprudential considerations; stress testing and systemic risk; stress testing and monetary policy. For the banks, the immediate application is capital adequacy and capital planning; we also examine strategic planning and performance measurement.
How this course will work?The course will run over two days, mostly in seminar style with active student participation. On day 2, the course participants will have the opportunity to discuss with senior experts from the practice during a 1.5h panel discussion in the afternoon. Question for the panel will be prepared by the course participants. There will be some group work to be completed on the evening of day 1.
For whom this training is madeFinancial stability and research department of Central Banks, private sector economists, bank officials, regulators, supervisors, EBA, SSM, SRB, ESBR, EU officials.
What you’ll learnAt the end of this course you will:
- have an understanding of the history and institutional frameworks for stress testing, as well as the main pillars of stress testing in the EU/ Eurozone
- have an understanding of the objectives of and tools for stress testing
- have acquired practical skills to both conduct and analyse banks stress tests
- have created a network of professionals working on similar topics and facing similar problems
Meet the course instructor
Til Schuermann, (Oliver Wyman Group, Management Consultants)
Til Schuermann is a partner at Oliver Wyman and has been supporting large financial institutions and official sector institutions with stress testing and risk management programs. He participated in the stress testing of the Spanish (2012) and Slovenian (2013) banking systems, and the European Central Bank’s Comprehensive Assessment in 2014. Until March 2011, Til was a 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.
In Spring 2009, he played a leadership role in the design and execution of the Supervisory Capital Assessment Program (bank stress test), and the subsequent Comprehensive Capital Analysis and Review (CCAR) programs. Til received his Ph.D. in Economics from the University of Pennsylvania in 1993, and his BA in Economics from the University of California at Berkeley in 1988. From 1993 – 1996 he worked at Bell Laboratories. He has numerous publications in both academic and practitioner journals, is an associate editor of the Journal of Financial Services Research and the Journal of Risk, and has taught at the Wharton School, where he is a Research Fellow, and at Columbia University.
1650€ – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions
2350€ – Private Sector
Practical information for the registered participants
On arrival, you will be provided with temporary wi-fi access for the whole duration of the course.
GENERAL INFORMATION ON LOCAL TRANSPORT
From the airport
Florence airport is located 8km from the centre, approx. 30 minutes by taxi or bus. Taxis can normally be found outside the arrival terminal. The airport is also connected to the main railway station by a shuttle bus that leaves every 30 minutes (on the hour and half-hour) and takes 25 minutes. Tickets are available on board for € 6.00.
+39 055 4390 / +39 055 4242
From Florence Airport Peretola to downtown Firenze about 25/30 minutes (approx. 25-30 €)
From Florence central railway station Santa Maria Novella to the European University Institute: about 20-30 minutes (approx. 30-35 €)
From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the centre of town/Stadio. Follow Stadio then Fiesole. San Domenico is on the main road to Fiesole.
From Piazza San Marco, take bus no. 7 in the direction ‘Fiesole’ and get off at ‘San Domenico 1 – Università Europea’. For bus routes and timetables consult: http://goo.gl/Ydj8K
To reach Villa La Fonte from San Domenico take the first right after the bus stop.
The Villa is about 1 km down the road on the right.