Advanced Stress Testing for Financial Institutions

Financial institutions are increasingly focused on improving stress testing practices. The global financial crisis exposed the inadequacy of pre-canned stress tests and demonstrated the importance of dynamic stress tests that focus on portfolio vulnerabilities. In addition to conducting macro-economic scenario analysis, major regulators asked banks to generate reverse stress tests to identify important fault lines. Furthermore, leading firms invested in early warning capabilities to help navigate difficult market conditions.

Led by industry leader Alan Laubsch, PRMIA offers Advanced Stress Testing for Financial Institutions to address these industry issues.

Key Learning Objectives

  • A methodology for adaptive stress testing
  • Reverse stress testing techniques and case studies
  • Early warnings: detecting signals amidst a flood of noise
  • Scenario library design and management
  • Stress visualizations, including network graphs and heat maps
  • A framework for integral risk management
  • Developing a pervasive risk culture
  • Polarity management to enhance risk governance and practice

Detailed Course Agenda

Module 1: Macro stress testing

  • Systemic risk drivers
  • Diagnosing and predicting systemic risk
  • Outlier early warning signs
  • Summary and case study exercise

Module 2: Building an integrated stress library

  • Building a stress library
  • Scenario generation methodologies
    • Sensitivity analysis
    • Historical scenarios
    • Hypothetical scenarios

Module 3: Goldman Sachs Risk Management Case Study

  • Case study review

Module 4: Reverse Stress Testing

  • History
  • JPM Case Study
  • Quantitative approaches to reverse stress testing
  • FSA reverse stress testing recommendation

Module 5: Adaptive stress testing

  • A framework for adaptive stress testing
  • Introducing StressGrades (TM)
    • Reverse stress testing with StressGrades(TM)
    • StressGrades(TM) HeatMaps
  • Summary and Conclusions

Purchase & Access


$395 for 3.5 hours of training.

Instant unlimited access is granted for 12 months directly after your purchase.

Member Pricing

  • Risk Leader & Sustaining Members: $355
  • Contributing Members: $375
Enroll Now


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