About This Event
“Use Pillar 2 stress tests to find the capital a bank needs before the market does.”
A four-day regional in-person workshop on stress testing within the Pillar 2 supervisory review process. You will review banks' ICAAP stress tests, build supervisory scenarios including climate and cyber-risk events, and turn the results into Pillar 2 capital add-ons and qualitative supervisory measures.
What You'll Explore
An ICAAP stress-test review checklist with ready-to-use challenge questions
A climate stress scenario template built on NGFS pathways
A severe cyber-incident scenario with credit, operational and liquidity impacts
A transparent method for calibrating Pillar 2 capital add-ons
A case-bank Pillar 2 decision defended before a peer panel
Who Should Attend
Open to all qualifying staff, particularly: Banking Supervisors, ICAAP/SREP Reviewers, Stress-Testing Teams, Risk Specialists, Prudential Policy Staff.
Why This Course Matters
Challenge the ICAAP
Banks' own stress tests often understate risk through mild scenarios or optimistic assumptions. Knowing what to probe lets you push back with evidence rather than instinct.
Climate and Cyber Included
Climate events and cyber incidents are now credible sources of capital and liquidity stress. Building them into Pillar 2 scenarios shows vulnerabilities traditional macro scenarios miss.
From Results to Capital
Stress-test results only bite when they shape capital requirements. A clear method for setting add-ons makes your Pillar 2 decisions consistent across banks and defensible on appeal.
Programme
Day 1
Pillar 2, ICAAP and the role of stress testing
You will map the Pillar 2 supervisory review process, the place of stress testing within ICAAP and SREP, and the standards a credible bank stress test should meet on governance and severity.
Day 2
Reviewing bank stress tests & scenario severity
You will review a sample ICAAP stress test, judge scenario severity and assumptions, and draft the challenge questions that expose optimistic modelling or missing risks.
Day 3
Climate and cyber-risk scenario design
You will design a climate scenario based on NGFS pathways and a severe cyber-incident scenario, and translate each into credit, operational and liquidity impacts for a representative bank.
Day 4
Setting Pillar 2 capital & supervisory measures
You will convert stress-test results into Pillar 2 capital add-ons, buffers and qualitative measures, then defend your calibration for a case bank in front of a peer supervisory panel.
Standards & Faculty Benchmark
Basel Pillar 2 Supervisory Review Process
The Basel framework for supervisory review of capital adequacy and bank internal assessment.
BCBS Stress Testing Principles (2018)
Basel principles on stress-testing governance, scenario design and the use of results.
NGFS scenarios & guidance
Climate scenarios widely used as the starting point for supervisory climate stress tests.
BCBS Principles for Operational Resilience
Basel principles relevant to cyber-incident scenarios and critical-operation disruption.
The Basel Pillar 2 framework and stress-testing principles are what IMF assessors and your banks' home supervisors expect to see in a supervisory review. Aligning your approach to them makes add-ons easier to explain and harder for banks to contest.
Is This Right for You?
- ☑You review ICAAPs or contribute to SREP decisions
- ☑Your institution is adding climate or cyber to its stress tests
- ☑You want Pillar 2 decisions that are consistent and defensible
Good to Know
Best suited to supervisors involved in ICAAP review or stress testing; familiarity with Basel capital rules is assumed, but advanced modelling skills are not. You leave with an ICAAP review checklist, climate and cyber scenario templates and a Pillar 2 calibration method.
The Bottom Line
Go home with the scenarios and calibration method to turn every ICAAP review into a Pillar 2 decision that holds up.
Recommended For
Open to all qualifying staff, particularly: Banking Supervisors, ICAAP/SREP Reviewers, Stress-Testing Teams, Risk Specialists, Prudential Policy Staff.