"Unifying risk and regulation" series :
Stress testing for capital and liquidity - It needs a common approach!

Date : This event took place on Thursday 29th April 2010

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FRSGlobal’s CoR²Experts discussed the stress testing requirements of capital and liquidity and how firms can benefit from one common approach towards both issues.

During the webinar, our experts touched on the Basel Committee on Banking Supervision (BCBS) Principles of sound stress testing practices and supervision (published in May 2009), and the Committee of European Banking Supervisors (CEBS) CP32 - Guidelines on stress testing (published in Dec 2009 and the FSA’s policy statement, PS 09/20 which covers feedback from the CP 08/24 which uncovered the fact that the majority of firms severely misunderstood the supervisors Pillar 2 risk appetite.

The concept of reverse stress testing has also been highlighted with implementation in some jurisdictions being introduced as early as December 2010.

The overall lesson from these various papers is that there is an immediate need for firms to improve their current approach towards stress testing.

Selwyn Blair-Ford, Head of Global Regulatory Policy at FRSGlobal and Mark Piper, Vice President UK and Ireland will clear the path to help you understand the road ahead. Specifically the webinar covered the following points:

  • How liquidity and capital stress testing can share a common infrastructure
  • The available guidance on the appropriateness of stress testing
  • Capital & Liquidity buffers; how are they to be constructed and used?
  • Reverse stress testing; what needs to be done to comply with regulatory requirements scheduled for December 2010?
  • The benefits of taking a unified approach Stress testing ICAAPs, ILAAs and other communication with the supervisors

Stress testing for capital and liquidity
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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.

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