"Unifying risk and regulation" series :
Reverse stress testing
|Held on :||15th December 2010|
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.
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.