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Bank Stress Testing, Analysis and Valuation

London Financial Studies
En London (Inglaterra), Singapore (Singapur)
  • London Financial Studies

3001-4000

The course was well arranged, well focused on the topics, really updated to recent events and clear. The teacher was easy approachable.

LA OPINIÓN DE Anonymous

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Descripción

This 2 day course covers bank stress testing, analysis and valuation. The programme begins with foundation work covering the basic bank business model, bank accounting and bank regulation under Basel 3. Exercises emphasise the role of stress testing banks’ capital and liquidity in dividing banks into those that are more susceptible to bank failure and those that are likely to survive. The appropriate selection of gone concern and going concern valuation methods is then deployed to value banks’ equity and credit securities.

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¿Qué objetivos tiene esta formación?

- Build a complete bank capital stress test model, encompassing both econometric and fundamental models of retail and corporate credit risk, market risk and operational risk
- Learn how to apply the model for any of Internal Capital Adequacy Assessment Process (ICAAP), external supervisor-driven stress tests or investor-driven stress tests
- Review the various approaches taken by different banks and supervisors in their capital stress testing, from a range of European, US and Asian banks

¿Esta formación es para mí?

Stress testing staff at banks
Capital management staff
Treasury/ALCO staff
Quants
Risk management staff
Senior management
Bank supervisors and resolution authorities
Bank equity and credit analysts and portfolio managers

Requisitos: Familiarity with Microsoft Excel Basic understanding of financial statements

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
23 marzo 2017
London
34 Curlew Street, se12nd, London, Inglaterra
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A elegir
Singapore
The Finexis Building, Singapore, Singapur
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Opiniones

A

30/04/2013
Lo mejor The course was well arranged, well focused on the topics, really updated to recent events and clear. The teacher was easy approachable.

A mejorar Nothing.

Curso realizado: Abril 2013 | Recomendarías este centro? Sí.

¿Qué aprendes en este curso?

Risk
Cash Flow
Securities
Credit
Testing
Quality
Banking
Financial
Business model
IT risk
Quality Training
Equity
Financial Training
Equity Valuation
methodology
Bank Stress
Bank Valuation
Stakeholder
NPL
HSBC
Bond valuation
Extension risks
Macroeconomic data

Temario

Day One

Stress-Testing Motivation And Applications
  • What is stress-testing – capital vs liquidity stress-testing?
  • Motivation for stress-testing – internal vs external supervisory and external investor purposes; business-as-usual vs stressed conditions; bottom-up vs top-down
  • Stress tests as a comprehensive and fully integrated, quantitative health assessment of banks as distinct from partial CAMEL-based approaches
  • Role of stress-testing in Internal Capital Adequacy and Assessment Process (ICAAP), Supervisory Review and Evaluation Procedure (SREP) and setting of Pillar 2 capital requirements, as well as in business planning
  • Banking system-wide stress tests, both in business-as-usual and stressed conditions. The increased role of external stress tests post crisis
Stress Test Model Building Blocks
  • Understanding and modelling pre-provision operating profits
  • Understanding loan loss and other asset provisioning
  • Understanding and modelling the balance sheet
  • Understanding and modelling regulatory capital
  • Linking the income statement, balance sheet and regulatory capital models
Case Study: Setting up the stress test model for Lloyds Banking Group Plc
Loan Loss Provisioning
  • Non-performing exposure and forbearance loan definitions – threshold criteria; entry and exit; borrower group perimeter. Definitional differences across banks
  • Understanding loan losses – loan loss provisions, loan loss reserves, write-offs and recoveries
  • Loan loss provisioning under IAS 39 vs IFRS 9 – moving from an incurred loss model to an expected credit loss model
Case Study: Loan loss provisioning at Lloyds Banking Group Plc
Workshop 1: Setting up the stress test model for Banco Santander SA
Performing The Capital Stress Test – Retail Lending
  • Stress scenario construction and choice of stressed capital threshold
  • Segmenting the loan book
  • Linking macroeconomic and bank-level variables. Peer benchmarking
  • Econometric techniques for stress testing
  • Stressing loan loss provisions for retail portfolios – residential mortgages
  • Stressing loan loss provisions for retail portfolios – consumer finance
  • Failed bank historical data – sanity check
Case Study: Stressing the Retail and Consumer Finance divisions at Lloyds Banking Group Plc
Workshop 2: Stressing retail and consumer finance lending at Banco Santander SA
Day Two
Performing The Capital Stress Test – Corporate/SME Lending
  • Stressing loan loss provisions for corporate/SME portfolios
  • Stressing identified problem segments. Examples – commercial real estate (CRE); commodities
  • Failed bank historical data – sanity check
Case Study: Stressing the Commercial division, including CRE, at Lloyds Banking Group Plc
Workshop 3: Stressing corporate/SME and CRE lending at Banco Santander SA
Performing The Capital Stress Test – Market Risk And Operational Risk
  • Stress testing market risk
  • Stress testing operational risk
Case Study: Stressing market and operational risk at Lloyds Banking Group Plc
Performing The Capital Stress Test – Completing The Test
  • Inputting stressed loan loss provisioning results into the stress test model
  • Interpretation and application of capital stress test results
  • Reverse stress tests
Case Study: Completing the stress test – Lloyds Banking Group Plc
Workshop 4: Completing the stress test – Banco Santander SA
Stress Test Case Studies – External Supervisor-Driven
  • ECB/EBA Comprehensive Assessment of EU banks, 2014
  • ECB/EBA EU bank stress test, 2016
  • US Federal Reserve Comprehensive Capital Analysis and Review of US banks, 2015
  • Bank of England UK Bank Stress Test 2015
  • Central Bank of Ireland/BlackRock Solutions Financial Measures Programme encompassing Prudential Capital Assessment Review of Irish banks, 2011
  • Oliver Wyman Asset Quality Review and Stress Test of Spanish banks, 2012
Stress Test Case Studies – ICAAP
  • EBA’s Draft Guidelines on Stress Testing and Supervisory Stress Testing (for ICAAP and SREP)
  • Stress testing in ICAAP at Barclays Plc
  • Stress testing in ICAAP at Banco of America Corporation
  • Stress testing in ICAAP at DBS Group Holdings Ltd
Stress Test Case Studies – Investor-Driven
  • Stress testing Chinese banks – Industrial & Commercial Bank of China Ltd; Bank of China Ltd; China Construction Bank Corporation; Agricultural Bank of China Ltd
  • Stress testing Standard Chartered Plc
  • Stress testing HSBC Holding Plc
  • Stress testing Banca Monte Dei Paschi di Siena SpA