While stress testing is a requirement for banks – prescribed by regulators and then scrutinized by shareholders – it should be viewed as a practical necessity for all risk managers in the derivative markets. Stress testing is an invaluable complement to distribution-based measures of risk such as Value-at-Risk (VaR) and Expected Shortfall, allowing risk managers to explore and understand the risk of tail events not captured by other risk measures.

But creating a robust stress testing framework is easier said than done. How do you create a comprehensive framework that encompasses the myriad of potential risks and market events a firm could face? How do you transition from stress testing principles to practical implementation? Should you simply strive for attaining regulatory requirements? Or can other benefits – such as better collateral optimization and collateral savings – be gained in the process as well?

In this webinar, recorded on Wednesday, June 5, 2013, Denny Yu, VP of Client Solutions and Risk Product Manager, discussed the benefits of a robust stress testing framework and delved into several practical issues to consider during the implementation plan.

Mr. Yu covered the following topics:

  • Review of regulatory drivers and requirements for stress testing

  • Collateral drivers

  • Benefits of a robust stress testing framework

  • Different variables to stress test:

    • Market data

    • Model parameters

    • Credit Support Annexes (CSAs)

    • Netting agreements

  • The implementation plan

    • Steps in building a risk scenario framework

  • Case study example

To view the on-demand webinar, just register on the right side of this page.

Featured Numerix Speakers:
Denny Yu, Vice President of Client Solutions Group and Product Manager, Risk
Mr. Yu oversees risk analytics including stress testing, VaR, and counterparty credit risk management. Prior to Numerix, Denny held several positions at RiskMetrics, a global provider of risk technology, including Product Manager, Implementation consultant, and Risk Advisor. He also spent several years at Citigroup in the Credit Risk Modeling group working on the bank's firm-wide Credit Value-at-Risk methodology, default probability modeling and debt rating models.

Denny has been a guest lecturer at New York University for enterprise wide risk management and has been published in several industry journals including Quantitative Credit Analyst and Commercial Lending Review. He has a Masters in Business Administration in Finance from New York University and is a CFA Charterholder.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

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