Creating a robust stress testing framework is easier said than done. How do you create a comprehensive framework that encompasses the myriad of potential risks and market events a firm could face? How do you transition from stress testing principles to practical implementation?
Join Denny Yu as he discusses the benefits of a robust stress testing framework and delves into several practical issues to consider during the implementation plan.
- Review of regulatory drivers and requirements for stress testing
- Collateral drivers
- Benefits of a robust stress testing framework
- Different variables to stress test:
- Market data
- Model parameters
- Credit Support Annexes (CSAs)
- Netting agreements
- The implementation plan
- Steps in building a risk scenario framework
- Case study example
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