About This Event
“Build the stress test that tells your board which banks bend, and which break.”
A one-week in-person course on macro-stress testing for financial-stability and supervision staff. You will design severe but plausible macroeconomic scenarios, translate them into credit losses and income projections, and assess bank solvency against capital requirements using a working top-down stress-testing model.
What You'll Explore
A working top-down solvency stress-testing model ready for your own data
A macroeconomic scenario template with calibrated baseline and adverse paths
Estimated satellite models linking macro variables to credit losses
A method for projecting income, RWAs and capital shortfalls by bank
A stress-test results briefing tested before a mock stability committee
Who Should Attend
Open to all qualifying staff, particularly: Financial Stability Analysts, Stress-Testing Teams, Banking Supervisors, Macroeconomic Modellers, Risk Specialists.
Why This Course Matters
See Losses Before They Come
A well-built stress test shows how capital would erode under recession, rate or currency shocks. That foresight lets you act on weak banks while there is still time to raise capital.
Scenarios That Hold Up
Scenario design is where most stress tests are won or lost. Learning to set severity and narrative well means your results are taken seriously by banks, boards and external reviewers.
Clear Solvency Messages
Stress-test results only matter if leadership understands them. Turning model output into clear capital shortfalls gives your governor a concrete basis for supervisory or policy action.
Programme
Day 1
Stress-testing frameworks & design choices
You will compare top-down and bottom-up stress tests, set objectives and coverage, and learn the design choices on horizon, balance-sheet assumptions and hurdle rates that shape every result.
Day 2
Macroeconomic scenario design & severity
You will build baseline and adverse macroeconomic scenarios, calibrate severity against historical and hypothetical shocks, and write a narrative that stands up to challenge.
Day 3
Satellite models: credit losses & PD modelling
You will estimate satellite models that link GDP, rates and exchange rates to non-performing loans and default probabilities, and translate them into projected credit losses by portfolio.
Day 4
Income, capital projection & solvency assessment
You will project net interest income, provisions and risk-weighted assets, then run the full solvency model to calculate capital ratios and shortfalls for each bank over the horizon.
Day 5
Results, second-round effects & communication
You will add contagion and feedback effects, interpret results for supervisory and policy use, and present stress-test findings to a mock financial stability committee.
Standards & Faculty Benchmark
BCBS Stress Testing Principles (2018)
Basel principles on stress-testing governance, scenario design, methodology and use of results.
IMF FSAP stress-testing practice
The approach used in IMF Financial Sector Assessment Programs for top-down solvency stress tests.
Basel III capital framework
The capital definitions, buffers and minimum ratios used as hurdle rates in solvency assessment.
The Basel stress-testing principles and IMF FSAP practice are exactly what external assessors use to review your stress-testing framework. Building your model and governance to them means your results carry weight with banks, your board and the IMF.
Is This Right for You?
- ☑You run or contribute to your authority's stress tests
- ☑Your institution wants to build or upgrade its solvency stress test
- ☑You want a model you can use, not just a methodology note
Good to Know
Some familiarity with bank balance sheets and Excel is helpful; the econometrics is taught for application, so no advanced modelling background is required. You leave with a working top-down solvency stress-testing model and a scenario template ready for your own data.
The Bottom Line
Walk out with a solvency stress test you built yourself and can defend line by line in front of your stability committee.
Recommended For
Open to all qualifying staff, particularly: Financial Stability Analysts, Stress-Testing Teams, Banking Supervisors, Macroeconomic Modellers, Risk Specialists.