Grant Thornton Briefing on Stress Testing
Three Grant Thornton executives delivered a breakfast briefing on Stress Testing on 14 November. This was one of a series of events that Grant Thornton offers as part of its Business Risk Services (so, this was an open event, not one specifically for the ABA).
The presentation addressed recent documents from the Basel Committee on Banking Supervision, the European Banking Authority, and the UK's Prudential Regulation Authority which contain guidance or requirements on how banks should oragnise their own stress tests, both within the context of the ICAAP and more broadly.
The presentations also provided guidance on Reverse Stress Testing and a simplified example of how stress scenarios can be statistically modelled.
The slides are attached below.
A link to Grant Thornton's Business Risk Briefings, which are free of charge, with information on how to register, is here.