ERM 2.0 | L2: Stress Testing & Credit Risk

During this lesson, we introduce the KPIs and KRIs relevant for stress testing and discuss the steps and roles within the enterprise stress testing process. In the second half, we will zoom into the stress testing of credit risk in the banking book.

Key topics addressed in Lesson 2:

- Recap: Forward-looking Enterprise Risk Management (ERM 2.0) and the relevant drivers
- Finance and accounting fundamentals (balance sheet, provisions, P&L, profit, capital)
- Risk fundamentals (Basel capital and liquidity framework, economic capital)
- Joined risk and finance perspective, and impact on KPIs and KRIs
- Enterprise stress testing framework, processes and orchestration, and regulation
- Credit risk and IFRS 9 fundamentals (RWA, collateral, ECL)
- Stress testing credit risk, ECL, and scenario analysis and regulation
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