Stress Testing Framework Development and Implementation

This programme provides comprehensive coverage of stress testing requirements under Basel III, with focus on developing robust frameworks suitable for SME banks. Participants will understand supervisory expectations for stress testing governance, scenario design, and model development. The course addresses both regulatory stress testing requirements and internal stress testing for risk management and capital planning purposes.

Special attention is given to the unique challenges SME banks face in stress testing, including limited historical data for severe stress scenarios and the need to capture SME-specific risk factors in stress testing models. The programme includes practical exercises in scenario design and stress testing model development.

Participants will:

• Develop comprehensive stress testing frameworks meeting regulatory expectations
• Design appropriate stress scenarios for SME lending portfolios
• Build and validate stress testing models
• Understand governance requirements for stress testing programmes
• Integrate stress testing with capital planning and risk management
• Navigate practical challenges specific to SME bank stress testing

• Stress Testing Regulatory Framework
  • Basel III stress testing requirements
  • Supervisory expectations and guidelines
  • Integration with capital adequacy assessment
  • MENA regulatory stress testing programmes
• Scenario Design and Development
  • Macroeconomic scenario construction
  • SME-specific stress factors identification
  • Historical vs. hypothetical scenario analysis
  • Severity calibration and plausibility assessment
• Model Development and Implementation
  • Stress testing model architecture
  • Credit loss modelling under stress
  • Revenue and expense projections
  • Capital and liquidity impact assessment
• Governance and Management
  • Stress testing governance frameworks
  • Model validation and review processes
  • Management actions and capital planning
  • Communication and reporting requirements