Annual or semi-annual regulatory stress testing is a fact of life for banks, and because of the complexity and enormity of the task it is often viewed as a major nuisance or chore. However, if viewed in this way, banks – as well as other capital market firms – could miss a great opportunity to employ an incredible risk management tool which can help them better understand the risks they face.
Join Numerix on Wednesday, March 27th at 10:00 am EST as Denny Yu, VP of Client Solutions and Risk Product Manager, provides a primer on stress testing and scenario analysis and explains how they can be used within a holistic risk management framework.
- Introduction to stress testing & scenario analysis
- Regulatory scenario introduction (Comprehensive Capital Assessment and Review, CCAR)
- Limits of Value at Risk (VaR) & other distribution measures
- Systemic vs. Idiosyncratic events
- Methodologies for scenario creation and generation
- Market trends in stress testing
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