ERM 2.0 | L3: Stress-Testing Market & Liquidity Risks

During this lesson, we will exam KPIs and KRIs relevant for forecasting and stress testing of market and liquidity risks. We will discuss the specifics and common approaches as well as the relevant frameworks for stressing market and liquidity risks.

Key topics addressed in Lesson 3:

- Recap: ERM 2.0, enterprise stress testing process and framework, and stress testing of credit risk
- Finance and accounting fundamentals (financial Instruments (Re)valuations and impairments, hedge accounting, profit and balance sheet impact of market and liquidity risk)
- Risk fundamentals (Basel market risk and liquidity risk framework, ALM, IRBBB, counterparty default risk)
- Stress testing market and liquidity risk
- Joined risk, finance perspective and impact on KPIs and KRIs; dependencies and correlations between market and liquidity risk and other risk types
Discounted member price: 89.00
109.00
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