RISKMATHICS← Volver al catálogo

CURSODIPLOMADO

Stress Tests and Capital Planning

Stress tests aren’t exams—they’re franchise-saving decisions. We translate severely-adverse scenarios—FX devaluations, rate shocks, fat tails, and digital runs into loss paths (credit/market/operational), PPNR/CECLIFRS9 overlays, RWA inflation, and capital actions (dividend stopp

Objetivo

  • Design coherent scenarios (macro + markets) with FX-rate-liquidity interdependence; dynamic vs static balance sheet.
  • Model credit losses by segment with IFRS9/CECL transitions; market & IRRBB MTM losses; global market shock; counterparty default/CVA. 
  • Link PPNR & funding (deposit betas, NIM under stress) and RWA inflation (FX & downgrades). 
  • Run reverse stress tests to identify failure thresholds and capital gaps.

Temario

Discuss the current techniques and models used for the stress testing and capital planning in financial institutions