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December 2016

Since the global financial crisis, bank stress testing has become an essential part of regulators’ toolkits for monitoring and maintaining financial stability. Anticipating the results of a formal stress test through simulation can enhance a bank's internal risk management as well as provide strategic business insight.

In this webinar, you will learn:

Methods for stressing default probabilities on particular macroeconomic scenarios.

How to implement stressed PDs in a portfolio simulation methodology to calculate scenario specific expected loan loss rates.

Insight from two simulation case studies for corporate loan portfolios: (1) The Federal Reserve’s CCAR/DFAST stress tests, and (2) a stress test for the five largest banks in Australia approximating the Australian Prudential Regulation Authority’s (APRA) stress test.

How to implement simulation analysis as an efficient repeatable and reduced computational costs process.

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