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Webinar: Stress testing

Sponsored by Wolters Kluwer

THE PANEL

  • Michael Barton, director, operational risk quantification/scenario analysis, AIG
  • Robert Chan, SVP, head of quantitative risk analytics, City National Bank
  • Will Newcomer, vice-president and market manager, Americas, Wolters Kluwer
  • Moderator: Duncan Wood, editor-in-chief, Risk.net

Bankers must make greater efforts to gather and report data as supervisors shift from static testing models to dynamic ones with a number of continually interacting inputs and evaluations. There is heightened emphasis on analysing and explaining decisions, not just making them. Like students sitting a maths exam, managers have to show their work – not just the right answers but how they got there.

Regulators are also insisting on greater agility in stress testing, in particular that banks “should be able to generate aggregate risk data to meet a broad range of on-demand, ad hoc risk management reporting requests, including requests during stress/crisis situations” (BCBS 239). The extra work and added complexity will make stress testing more onerous and put unprecedented pressure on risk management models and systems.

 

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