BALANCE SHEET STRESS TESTING AND RECOVERY PLANNING - 3rd December - 5th December 2025

Regular price : USD 1,699 PER PERSON

Course overview
  • The course will provide attendees with detailed tuition on stress testing and recovery planning from both theoretical as well as applied views. A hands-on perspective is followed. The use of Excel and R provides a comprehensive framework to be directly used on a day-by-day basis.
  • During the first day, macroeconomic scenarios are investigated from both an economic as well as time series (statistical) perspectives. Margin at risk and liquidity stress testing are explored through the lenses of the traditional asset and liability management framework. Case studies help consolidating the broader understanding of the key issues risk managers need to face.
  • A deep dive into credit risk analysis characterizes the second day. An introduction to portfolio credit risk modelling is followed by the exam of the relationships with Advanced Internal Rating Based (AIRB) modelling. Links between credit risk parameters and macroeconomic variables are studied through a series of case studies. Balance sheet is then explored both in terms of asset and liability stress testing projections as well as from a profit and loss viewpoint. On the latter, the focus is on pre-provision net revenues and credit loss projections.
  • During the third day, the regulatory capital analysis is conducted under stress by exploring the best practice in recovery planning. All key topics studied during day one and two are put into practice in order to assess the impact of adverse macroeconomic conditions on a Bank. Risk integration and reverse stress testing are studied as a key element of a comprehensive risk assessment and recovery planning process to be used both for managerial purposes as well as into the internal capital adequacy assessment process (ICAAP).

    • Learning objectives
  • Build a complete bank stress test model, encompassing both economic and fundamental models of retail and corporate credit risk with hints on market and operational risk
  • Learn how to apply models 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 international experiences
  • Deep understanding of the key concepts around reverse stress testing and recovery planning

    • Who should attend
  • Capital management staff
  • Risk management staff
  • Bank credit analysts and portfolio managers
  • Treasury/ALCO staff
  • Quants
  • Senior management
  • Bank supervisors and resolution authorities

    • Meet our Course Director
    Dr Tiziano Bellini, PhD (Statistics) Responsible of Prometeia Risk Integration and Advisory for International Markets, including Egypt since 2022. This area of expertise include:
  • Stress testing and Recovery Planning.
  • Advisory on planning and enterprise risk management processes.
  • Models & methodologies, development of simulation tools for integrated risk management
  • IFRS 9, CECL, Loss forecasting, PD, LGD, EAD modelling.

    • Wide risk management experience across Europe, Africa and the Middle East. Before joining Prometeia, he was Director at BlackRock in London, Barclays Investment Bank in London, EY Advisory London, and HSBC Headquarters. Professor at the University of Bologna: Master in Quantitative Finance Visiting professor at Imperial College in London, the London School of Economics and Political Science, , University of Passau in Germany. A recognized expert at international level in Stress Testing and Recovery Planning, authoring multiple books on the topic:
  • Stress Testing and Risk Integration in Banks, A Statistical Framework and Practical Software Guide (in Matlab and R), edited by Academic Press (2016)
  • IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS, edited by Academic Press (2019)
  • Reverse Stress Testing in Banking, A Comprehensive, edited by De Gruyter (2021)
  • Authored papers published in European Journal of Operational Research (EJOR), Computational Statistics and Data Analysis (CSDA) and other top reviewed Journals.
  • Referees of Journal of Banking and Finance (Elsevier) and Journal of Applied Statistics (Taylor &Francis) and other top Journals.
  • Trainer in risk management and statistics in Europe, UK, Asia, Middle East, Africa.

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