The webinar will discuss the best practices in Stress Testing, what are the capabilities of vendors in this industry space, future of stress testing and its impact on ICAAP, Basel III. The webinar will also discuss capital planning, bank's safety and soundness

Quote "Overview of the “multiplicity” challenge, where the same outcome can be obtained with multiple combinations of risk factors and economic scenarios.

• Identifying two mathematical challenges: (type-1 multiplicity) “indeterminacy” and (type-2 multiplicity) “properties of a reverse mapping”.

• Review of specific case studies on how to use statistical tools to overcome the multiplicity challenges in practice, using “factor analysis” to handle type-1 multiplicity and linear algebra techniques for type-2.

• Using simulation techniques for credit-portfolio reverse stress testing exercises. Reconstructing the scenario characteristics that are linked to specific points in the “VaR” curves and “portfolio expected-loss” distributions." Unquote