Stress Testing for Investment and Treasury Portfolios Training Course

Introduction

This intensive 5-day training course provides a comprehensive and practical deep dive into stress testing methodologies specifically designed for investment and treasury portfolios. In an increasingly uncertain global financial landscape, stress testing has become an indispensable tool for financial institutions to assess portfolio resilience, identify vulnerabilities, and prepare for adverse market conditions. This program will equip participants with the advanced analytical techniques and quantitative skills necessary to design, implement, and interpret robust stress tests across diverse asset classes and financial instruments, enabling proactive risk management and informed strategic decision-making.

The course goes beyond theoretical concepts, focusing on real-world applications, practical tools, and the latest regulatory expectations impacting stress testing. Through interactive case studies, hands-on exercises, and discussions of current market events and regulatory frameworks (such as those from central banks and supervisory authorities), attendees will learn to construct meaningful scenarios, conduct impact analyses, and integrate stress test results into capital planning, liquidity management, and overall risk governance. Whether you are a portfolio manager, risk analyst, treasury professional, or compliance officer, this program offers an unparalleled opportunity to master the essential skills for safeguarding investment and treasury portfolios against unforeseen shocks and enhancing their overall resilience.

Duration: 5 days

Target Audience:

  • Portfolio Managers
  • Treasury Managers and Staff
  • Market Risk Analysts
  • Credit Risk Analysts
  • Quantitative Analysts
  • Financial Controllers
  • Risk Management Professionals
  • Compliance Officers

Objectives:

  • To provide a comprehensive understanding of stress testing concepts and methodologies.
  • To equip participants with the skills to design and implement effective stress tests for investment and treasury portfolios.
  • To understand the impact of various macroeconomic and market shocks on portfolio performance.
  • To explore regulatory expectations and industry best practices in stress testing.
  • To enable participants to integrate stress test results into strategic decision-making and risk reporting.

Course Modules:

Introduction

  • Defining stress testing: purpose, objectives, and evolution.
  • Why stress testing is crucial for investment and treasury portfolios in today's environment.
  • Distinction between scenario analysis, sensitivity analysis, and stress testing.
  • Regulatory drivers for enhanced stress testing capabilities.
  • Overview of the course structure and key learning outcomes.

Stress Testing Methodologies

  • Historical scenarios: advantages, limitations, and how to adapt them.
  • Hypothetical/Ad-hoc scenarios: design principles and challenges.
  • Macroeconomic scenarios: linking economic variables to financial impacts.
  • Statistical approaches to stress testing (e.g., extreme value theory, copulas).
  • Reverse stress testing: identifying scenarios that cause unacceptable losses.

Scenario Design and Calibration

  • Identifying relevant risk factors for investment and treasury portfolios.
  • Sources of data for scenario building (e.g., historical data, expert judgment, regulatory guidance).
  • Calibrating shock magnitudes and correlations across risk factors.
  • Incorporating second-order effects and feedback loops in scenario design.
  • Practical examples of designing stress scenarios for interest rate, FX, equity, and credit shocks.

Stress Testing for Market Risk

  • Impact of interest rate shocks on fixed income portfolios (yield curve shifts, twists).
  • Equity market downturns and their effects on investment portfolios.
  • Foreign exchange rate volatility and its impact on multi-currency portfolios.
  • Commodity price shocks and their transmission to treasury exposures.
  • Measuring market risk under stress: stressed VaR and other metrics.

Stress Testing for Credit Risk

  • Impact of credit rating downgrades and default events on bond portfolios.
  • Stress testing counterparty credit exposures from derivatives and repos.
  • Sector-specific stress scenarios for credit portfolios.
  • Incorporating migration risk and recovery rate shocks.
  • Linking macroeconomic stress to credit losses in loan and bond portfolios.

Stress Testing for Liquidity Risk

  • Designing liquidity stress scenarios (e.g., redemption shocks, funding market freezes).
  • Impact of market illiquidity on asset fire-sale values.
  • Assessing contingent liquidity needs under stress.
  • Developing and testing contingency funding plans.
  • Integration of liquidity stress tests with market and credit risk stress tests.

Integration and Application of Stress Test Results

  • Communicating stress test results effectively to senior management and the board.
  • Integrating stress test findings into capital adequacy assessments.
  • Using stress tests for strategic decision-making and business planning.
  • Linking stress testing to risk appetite and limit setting frameworks.
  • Remedial actions and management responses based on stress test outcomes.

Governance, Best Practices, and Future Trends

  • Establishing a robust stress testing governance framework.
  • Roles and responsibilities of different stakeholders in the stress testing process.
  • Data infrastructure and technology requirements for effective stress testing.
  • Regulatory expectations and supervisory reviews of stress testing programs.
  • Emerging trends in stress testing: climate risk, cyber risk, machine learning applications.

CERTIFICATION

  • Upon successful completion of this training, participants will be issued with Macskills Training and Development Institute Certificate

TRAINING VENUE

  • Training will be held at Macskills Training Centre. We also tailor make the training upon request at different locations across the world.

AIRPORT PICK UP AND ACCOMMODATION

  • Airport pick up and accommodation is arranged upon request

TERMS OF PAYMENT

Payment should be made to Macskills Development Institute bank account before the start of the training and receipts sent to info@macskillsdevelopment.com

 

Stress Testing For Investment And Treasury Portfolios Training Course in Nicaragua
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