Stress Testing, including PS09/20 (Reverse Stress Testing) as a Key Tool to Understanding Your Risk
On Wednesday February 17, 2010, avantage held a briefing session discussing trends and developments in stress testing, including reverse stress testing. This was attended by a number of representatives from Banks, Investment Firms and Insurance companies.
Martin Clark, Partner, avantage spoke on PS09/20, Stress and Scenario Testing, providing insights on the current requirements and good practice.
You can download a copy of his presentation here.
Our guest speaker, Mr Herve Geny, Chief Risk Officer, ICAP, provided a valuable industry perspective highlighting industry best practices.
You can download a copy of his presentation here.
The session was then rounded off with a lively question and answer session facilitated by Frederic Gielen, Partner, avantage.
Questions to the panel included discussion around:
- The level of severity of stress testing;
- The use of stress testing as a risk management tool and as a capital management tool;
- The aggregation of scenarios and the experience that the participants have had with the FSA and what the FSA deem acceptable (or not); and
- Links between risk appetite and stress testing.
