Stress testing banks

[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

July 29, 2010 Key Points RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 Type of Stress tests RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 Type of Stress tests (Cont’d) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],July 29, 2010 Breadth Depth RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 Stress-testing – What is the purpose? RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 Stress-testing – What is the purpose? (Cont’d) RIMAN RISK CONFERENCE 2010, LAGOS

July 29, 2010 Supervisory & Banks’ Expectations RIMAN RISK CONFERENCE 2010, LAGOS Stress-testing – What is the purpose? (Cont’d) What does the regulator hope to achieve? What does a bank hope to achieve? ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

July 29, 2010 Business Benefits of effective stress testing RIMAN RISK CONFERENCE 2010, LAGOS Source : PWC

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 Drivers of Stress Testing RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

July 29, 2010 Key Elements of a Stress Testing Process ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 Key Elements of a Stress Testing Process (Cont’d) RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS Key Elements of a Stress Testing: Schematic Ensure Reliable Data Survey Portfolio & Environment Identify Risk Factors Construct Stress Tests Run Stress-tests using counterparty & portfolio risk models Estimate bottomline of counterparties under stressful conditions Calculate Stress Loss Report Results Take Corrective Action, if required Reassess Stress tests for appropriateness Does the Bank possess quantitative risk measurement systems? KEY ELEMENTS in STRESS TESTING Framework

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],July 29, 2010 RIMAN RISK CONFERENCE 2010, LAGOS

November 12, 2009 RIMAN RISK CONFERENCE 2010, LAGOS

[object Object],[object Object],[object Object],[object Object],November 12, 2009 RIMAN RISK CONFERENCE 2010, LAGOS

Stress testing banks

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