"Unifying risk and regulation" series :
Reverse stress testing

Held on : 15th December 2010

download event summary

The “Unifying risk and regulatory reporting” webinar series is designed to explain the issues associated with the ‘new’ regulatory environment that requires a significant amount of risk information as part of the standard regulatory reports.

This session focused on the topic of reverse stress testing.

Reverse stress testing is used to assess the strength and robustness of a portfolio with respect to extreme events that are caused by the unexpected behaviour of the financial risk factors. These factors are causing particular events that could lead to unexpected losses in market and/or credit driven portfolios. The analysis of reverse stress testing starting from the unexpected outcome, such as a portfolio loss, and aims to identify the particular risk factorial circumstances (one or group of them) that would cause this outcome to occur. In fact reverse stress testing provides an insight of the likely scenarios that are the most relevant to the output event that is under investigation (e.g., loss profile of a portfolio).

In this webinar the following topics were presented:

  • The regulatory demands referring to RST
  • Identifying role of RST in stress analysis
  • Setting the extreme outputs where RST will be applied
  • Identify the parameters referring to RST
  • Setting models of RST
  • Defining Case Studies on RST using RiskPro

In response to the recent financial crisis the regulatory framework is being revised and strengthened. One important new requirement is the use of reverse stress testing as part of the more rigorous stress testing practices for banks which was discussed in this webinar.

Reverse Stress Testing
  1. Register for the post webinar documentation for the “Unifying risk management and regulatory reporting series: Reverse Stress Testing" webinar by completing the form below.
  2. (* indicates a mandatory field.)
  3. Title(*)
    Invalid Input
  4. First Name(*)
    Please enter your first name
  5. Last Name(*)
    Please enter your last name
  6. Job Title(*)
    Please enter your job title
  7. Company(*)
    Please enter your company name
  8. Department(*)
    Please select your Department
  9. Country(*)
    Please select your country
  10. Email(*)
    Please enter a valid email address
  11. Note: Please ensure this is your correct email address to receive post webinar documentation.
  12. Contact Number(*)
    Please enter a contact number
  13. How did you hear about this?(*)
    Please state how you heard about this
  14. Message
    Invalid Input

  17.   Choose againplease try again
  18.   
  19. Privacy policy: This information will only be used for the purpose indicated and will be held in a secure manner, in accordance with the principles contained in the Data Protection Act 1988. It will not be used for any other purpose or be disclosed to any other person without your prior permission and will not be kept for longer than necessary to achieve the purpose indicated. If you are concerned about providing your personal information online please contact us and we will arrange alternative means for you to provide this information.

    FRSGlobal reserves the right to refuse registration to any registrant or individual.

Note

Attendees automatically receive a summary of the webinar, complete with results of on-line polls and questions submitted during the Q&A session, the PowerPoint slides used during the presentation, and a link to a recording of the webinar.

© 2013 FRS Belgium NV. All Rights Reserved.