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  1. Nicole Seaman

    P1.T1.20.13 Enterprise Risk Management (ERM): scenario analysis and behavioral concepts

    Learning objectives: Describe important dimensions of an ERM program and relate ERM to strategic planning. Explain the role of scenario analysis in the implementation of an ERM program and describe its advantages and disadvantages. Explain the use of scenario analysis in stress testing programs...
  2. Nicole Seaman

    P2.T7.810. Stress testing banks (Schuermann)

    Learning objectives: Describe the historical evolution of the stress testing process and compare methodologies of historical EBA, CCAR and SCAP stress tests. Explain challenges in designing stress test scenarios, including the problem of coherence in modeling risk factors. Explain challenges in...
  3. Nicole Seaman

    P1.T4.806. Putting value at risk (VaR) to work (Allen Ch.3)

    Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing...
  4. Nicole Seaman

    P1.T4.802. Stress Testing and Other Risk Management Tools (Siddique)

    Learning objectives: Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe the various approaches to using VaR models in stress tests. Explain the importance of stressed inputs and their importance in stressed VaR...
  5. Nicole Seaman

    P1.T4.800. Stress testing governance (Siddique)

    Learning objectives: Describe the key elements of effective governance over stress testing. Describe the responsibilities of the board of directors and senior management in stress testing activities. Identify elements of clear and comprehensive policies, procedures, and documentations on stress...
  6. Nicole Seaman

    P2.T5.716. Value at risk (VaR) mapping for stress testing and performance benchmarking (Jorion)

    Learning objectives: Describe how mapping of risk factors can support stress testing. Explain how VaR can be used as a performance benchmark. Questions: 716.1. The table below exhibits Jorion's stress test of a $200.0 million two-bond portfolio: one bond is a $100.0 million 5-year 6.0% annual...
  7. Nicole Seaman

    P2.T6.708. Stress testing the credit value adjustment (CVA)

    Learning objectives: Describe a stress test that can be performed on CVA. Calculate the stressed CVA and the stress loss on CVA. Calculate the debt value adjustment (DVA) and explain how stressing DVA enters into aggregating stress tests of CCR. Describe the common pitfalls in stress testing...
  8. Nicole Seaman

    P2.T6.707. Stress testing counterparty exposures

    Learning objectives: Differentiate among current exposure, peak exposure, expected exposure, and expected positive exposure. Explain the treatment of counterparty credit risk (CCR) both as a credit risk and as a market risk and describe its implications for trading activities and risk management...