Events

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