Bank Stress Testing Training Course

Duration 10 days 16 modules · 65 contact hours
Level Intermediate Certificate on completion
Who attends Enterprise Risk Managers, Financial Planning Analysts and others
Fee from USD 2,200 KSh 190,000 for Kenyan organisations
Where 52 cities + online See dates by city
Next start 16 Nov 2026 Course code SD-RM-085

Before you join: Participants should understand bank financial statements, core banking risks and basic capital or liquidity ratios.

Dates & prices

Two start dates a month in every city, and live online on weekdays or weekends. Fees are per participant; classroom fees include tuition, materials, lunch and refreshments, and the certificate.

Suggest a date or city

Showing the next six months. Later dates, other cities and private deliveries for your team are available on request.

Course overview

Bank stress testing turns uncertain macroeconomic, market, credit and funding conditions into quantified decisions on capital, liquidity, risk appetite and management actions. Banks must show that their scenarios are severe yet plausible, their models are controlled, and their results can be explained to senior management, boards, auditors and supervisors. Weak stress testing often fails through disconnected assumptions, untested data, inappropriate model use, or action plans that cannot be implemented under pressure.

This course develops the practical skills needed to design, run, challenge and report bank-wide stress tests. Participants examine supervisory expectations under the Basel Framework, EBA Guidelines, ICAAP, ILAAP and IFRS 9. They translate macroeconomic narratives into risk-factor paths, assess credit, market, interest-rate, liquidity and operational-risk effects, and connect projected losses to capital and liquidity ratios. The course also covers reverse stress testing, management overlays, model risk, data lineage, governance, recovery options and board reporting.

Teaching combines focused instructor briefings with bank cases, facilitated group analysis, scenario design work, model-output reviews and management-decision simulations. Participants progressively construct a stress-testing pack using linked scenario assumptions, financial projections, risk impacts, controls and response actions. They leave with a reusable stress-testing methodology, scenario library structure, governance checklist, results-reporting template and a completed integrated stress-test case suitable for adaptation within their institution.

The course suits risk, finance, treasury, credit, model-risk and internal-audit professionals who contribute to stress testing or use its results for planning and oversight. It is also relevant for managers responsible for ICAAP, ILAAP, recovery planning, portfolio risk and supervisory submissions.

What you will be able to do

  • Design bank-wide stress-testing programmes aligned to supervisory expectations and internal risk appetite
  • Construct coherent macroeconomic scenarios and translate them into measurable risk-factor shocks
  • Calculate stressed credit losses, impairments, capital ratios and liquidity positions
  • Apply IFRS 9 staging and expected-credit-loss methods under adverse scenarios
  • Assess interest-rate, market-risk and funding impacts using appropriate stress methodologies
  • Conduct reverse stress tests that identify scenarios threatening business-model viability
  • Challenge stress-test models, assumptions, data lineage and management overlays
  • Produce a board-ready stress-testing report with actions, limitations and governance evidence

Benefits of attending

For you

  • Build credible stress-test scenarios from macroeconomic and portfolio risk drivers
  • Interpret capital, liquidity and profitability results under severe adverse conditions
  • Challenge assumptions and model outputs with structured technical questions
  • Prepare evidence suitable for risk committees, boards and supervisory discussions
  • Contribute directly to ICAAP, ILAAP, recovery planning and annual planning cycles

For your organisation

  • Improves consistency between risk scenarios, financial forecasts and capital planning
  • Strengthens challenge over stress-test models, overlays and management assumptions
  • Produces clearer management actions linked to capital and liquidity trigger breaches
  • Reduces gaps in stress-testing governance, documentation and data lineage
  • Supports more credible supervisory submissions and board risk decisions

Course modules

16 modules over 10 days

Participants can define a bank stress-testing architecture linked to governance, planning and supervisory requirements.

  • Stress testing purposes: risk identification, capital planning, liquidity planning and recovery
  • Basel Framework principles for bank-wide stress-testing governance and use
  • EBA Guidelines expectations for scenarios, methodologies, documentation and challenge
  • ICAAP, ILAAP and recovery planning links within annual planning cycles
  • Board, risk committee and senior management accountabilities for stress testing
  • Three-lines roles for ownership, independent challenge, validation and assurance
  • Stress-testing policy components, approval thresholds and escalation requirements

Participants can scope a proportionate stress-testing programme for a bank's material risks and portfolios.

  • Risk inventory mapped to material portfolios, products, entities and risk types
  • Materiality thresholds for selecting exposures, assumptions, models and reporting metrics
  • Top-down, bottom-up and hybrid stress-testing approaches compared
  • Frequency calendars for annual, ad hoc, recovery and regulatory tests
  • Legal-entity, consolidated-group and cross-border stress-testing scope decisions
  • Dependencies between credit, market, liquidity, operational and reputational risks
  • Programme roadmap linking data, modelling, review, approval and reporting milestones

Participants can build internally consistent baseline and adverse macroeconomic scenarios with defensible severity.

  • Scenario narratives connecting economic shocks, transmission channels and banking exposures
  • Baseline, adverse and severely adverse scenario construction principles
  • GDP, unemployment, inflation, policy-rate and property-price variable selection
  • Historical calibration using recessions, crises and institution-specific loss experience
  • Severity, plausibility and relevance tested against portfolio vulnerabilities
  • Scenario paths specified by quarter, geography, currency and business line
  • Narrative assumptions documented with sources, judgements and uncertainty ranges

Participants can translate macroeconomic scenarios into coherent credit, market, earnings and funding risk factors.

  • Transmission maps linking macroeconomic variables to portfolio risk drivers
  • Satellite models converting economic paths into default and loss assumptions
  • Yield curves, credit spreads, foreign exchange and equity shock specifications
  • Deposit behaviour assumptions under rate shocks and confidence deterioration
  • Correlation assumptions tested for amplification, diversification and concentration effects
  • Management actions separated from exogenous scenario assumptions
  • Scenario coherence checks across revenue, losses, funding and balance-sheet projections

Participants can specify the data controls and aggregation process needed for reliable stress-test results.

  • Source systems identified for exposures, collateral, finance, treasury and risk data
  • BCBS 239 principles applied to aggregation accuracy, completeness and timeliness
  • Data lineage documented from source records to board reporting metrics
  • Data-quality controls for missing values, reconciliations, overrides and late adjustments
  • Reference data aligned across customer, facility, collateral and legal-entity records
  • Aggregation hierarchies for portfolio, business-unit, entity and group reporting
  • Manual spreadsheet controls covering versions, formulas, access and review evidence

Participants can estimate stressed credit-risk losses using portfolio segmentation and risk-parameter changes.

  • Portfolio segmentation by product, geography, sector, rating and collateral type
  • Probability-of-default stress methods using migration matrices and satellite models
  • Loss-given-default shocks reflecting collateral haircuts, cure rates and workout delays
  • Exposure-at-default projections incorporating drawdowns, amortisation and credit conversion factors
  • Default-rate projections reconciled with macroeconomic scenario severity
  • Concentration risk assessed through large exposures, sectors and connected counterparties
  • Credit-loss results decomposed by portfolio, driver, period and legal entity

Participants can project stressed IFRS 9 expected credit losses and explain impairment movements.

  • IFRS 9 staging criteria under deteriorating credit-risk conditions
  • Lifetime expected-credit-loss calculations using stressed PD, LGD and EAD
  • Significant increase in credit risk thresholds and staging migration assumptions
  • Forward-looking macroeconomic weights, scenarios and probability weightings
  • Management overlays governed through evidence, approvals, monitoring and expiry criteria
  • Write-offs, recoveries and interest-income effects within impairment projections
  • Reconciliation between regulatory expected-loss measures and accounting impairments

Participants can project stressed profit, losses and regulatory capital ratios over a planning horizon.

  • Pre-provision net revenue projected from margin, fees, costs and volume assumptions
  • Credit impairments, market losses and operational losses incorporated into earnings forecasts
  • Risk-weighted assets projected through migration, growth, model and regulatory changes
  • Common Equity Tier 1 ratio calculated under stressed capital movements
  • Capital buffers, minimum requirements and management thresholds assessed over time
  • Dividend, bonus and capital-issuance assumptions treated as management actions
  • Capital plan sensitivities presented for key scenario and modelling uncertainties

Participants can assess liquidity survival under idiosyncratic, market-wide and combined funding stress.

  • Cash-flow maturity ladders constructed from contractual and behavioural cash flows
  • Idiosyncratic, market-wide and combined liquidity stress scenarios specified
  • Deposit outflow assumptions segmented by product, customer type and insurance coverage
  • Wholesale funding roll-off, collateral calls and contingent outflow modelling
  • Liquidity Coverage Ratio projected using stressed inflows and outflows
  • Net Stable Funding Ratio assessed under balance-sheet and funding changes
  • Survival horizon measured against counterbalancing capacity and contingency funding actions

Participants can quantify stressed valuation and earnings effects from market and interest-rate shocks.

  • Parallel, steepener, flattener and basis yield-curve shock construction
  • Economic value of equity sensitivity calculated under prescribed rate shocks
  • Net interest income projections using repricing gaps and behavioural assumptions
  • Foreign-exchange, spread, equity and commodity risk shock specifications
  • Market-value changes measured through revaluation, sensitivities and stressed valuation
  • Option risk and non-linearity considered for callable and embedded-option products
  • Hedging effectiveness assessed under stressed correlations, spreads and liquidity conditions

Participants can incorporate non-financial risk events into an integrated stress-testing programme.

  • Operational-risk scenarios built from event data, control failures and expert judgement
  • Cyberattack impacts modelled through outages, remediation costs and customer compensation
  • Conduct-risk losses estimated from litigation, redress, fines and revenue disruption
  • Business continuity assumptions tested for staff, premises, suppliers and technology
  • Climate physical-risk scenarios linked to collateral, operations and insurance costs
  • Transition-risk pathways assessed for carbon-intensive counterparties and sectors
  • Non-financial risk losses connected to capital, liquidity and reputational effects

Participants can identify break-point scenarios and define credible recovery actions before viability is threatened.

  • Reverse stress testing starts from capital, liquidity or viability failure points
  • Break-point analysis identifies combinations of losses, outflows and valuation declines
  • Recovery indicators linked to early-warning, escalation and intervention thresholds
  • Recovery options assessed for timing, feasibility, capacity and adverse side effects
  • Asset sales, funding actions and capital measures tested under stressed conditions
  • Management trigger frameworks aligned with risk appetite and recovery planning
  • Reverse-test findings documented without treating implausibility as automatic dismissal

Participants can evaluate stress-test model limitations, validation evidence and management judgement.

  • Model inventory records purpose, owners, methodology, limitations and approval status
  • Conceptual soundness reviewed against economic logic and intended model use
  • Outcome analysis compares projections with realised losses and prior stress results
  • Sensitivity testing identifies assumptions driving capital and liquidity outcomes
  • Benchmarking compares internal estimates with external data and alternative methods
  • Expert judgement governed through rationale, evidence, challenge and approval records
  • Model limitations translated into uncertainty statements and management reporting

Participants can establish a controlled stress-testing process with clear accountability and review evidence.

  • RACI matrices assign scenario, model, data, review and approval responsibilities
  • Committee terms of reference define decisions, quorum and escalation routes
  • Version control preserves scenario changes, model runs and report revisions
  • Independent challenge documented through findings, responses, owners and closure dates
  • Internal audit testing covers design effectiveness, operating evidence and remediation
  • Issue registers track data gaps, model weaknesses and action-plan dependencies
  • Documentation standards support repeatability, traceability and supervisory review

Participants can communicate stress-test outcomes, uncertainty and management actions to decision-makers.

  • Results waterfalls explain movements in earnings, capital, liquidity and risk-weighted assets
  • Driver analysis separates scenario effects, model changes and management actions
  • Sensitivity ranges communicate uncertainty around key assumptions and estimates
  • Dashboard metrics aligned with risk appetite, buffers and recovery triggers
  • Board papers present implications, decisions required, limitations and recommended actions
  • Supervisory submissions reconciled with ICAAP, ILAAP, finance and regulatory reporting
  • Post-test reviews assess decision use, execution quality and methodology improvements

Participants can build, review and present a complete bank stress-testing pack covering scenarios, risk impacts, capital, liquidity, governance and management actions.

  • Define material risks, portfolio scope, governance roles and planning horizon
  • Build a severe macroeconomic scenario with documented transmission channels
  • Project stressed credit losses, impairments, revenue, capital and liquidity metrics
  • Test reverse-stress break points and credible recovery-management actions
  • Review data lineage, model limitations, overlays and independent challenge findings
  • Prepare board reporting with results, sensitivities, decisions and escalation triggers
  • Present the integrated stress-testing pack for committee review and challenge

Exercises and examples are adapted to each cohort's sectors and roles.

What you take back to work

  1. Bank stress-testing programme blueprint
  2. Macroeconomic scenario design template
  3. Capital and liquidity projection model
  4. IFRS 9 stress-testing checklist
  5. Stress-test governance RACI matrix
  6. Board stress-testing report template

Who should attend

  • Enterprise Risk Managers — responsible for bank-wide stress-testing frameworks and challenge
  • Financial Planning Analysts — translate stressed risk outcomes into capital and earnings projections
  • Treasury and ALM Managers — assess funding, liquidity and interest-rate stress impacts
  • Credit Risk Managers — model portfolio deterioration, defaults, recoveries and impairments
  • Model Risk Professionals — review model assumptions, limitations and control evidence
  • Internal Auditors and Compliance Managers — assess governance, documentation and supervisory readiness

Skills and tools covered

Scenario designCapital stress testingLiquidity stress testingIFRS 9 modellingReverse stress testingStress-test governance

Tools and standards

Basel Framework, EBA Guidelines on Institution-Wide Stress Testing, IFRS 9, BCBS 239

How the course runs

Training methodology

The course uses short technical briefings followed by structured bank cases and facilitated group work. Participants develop scenarios, interpret stressed portfolio and financial data, test model assumptions, and make capital and liquidity decisions under simulated management pressure. Instructor feedback focuses on supervisory expectations, calculation logic, documentation and effective challenge. Each module adds to an integrated stress-testing pack, with time reserved for application planning against participants' own portfolios, planning cycles and governance arrangements.

Requirements and prerequisites

Participants should understand bank financial statements, core banking risks and basic capital or liquidity ratios. Experience in risk management, finance, treasury, credit, audit, regulatory reporting or financial planning is helpful. Participants should be comfortable reading spreadsheets and interpreting financial projections, although advanced spreadsheet modelling is not assumed. No programming, econometrics, prior regulatory examination experience or specialist stress-testing software is required. The course explains relevant prudential concepts before applying them to cases and templates.

A typical training day

08:30 – 10:30First session
10:30 – 10:45Refreshment break
10:45 – 12:30Second session
12:30 – 13:30Lunch and networking
13:30 – 15:00Third session
15:00 – 15:15Refreshment break
15:15 – 16:30Workshop and daily review

Live online deliveries follow the same structure in East Africa Time, with shorter screen blocks and longer breaks.

What the fee includes

  • Instruction by a practitioner facilitator
  • Full course workbook and materials
  • Exercise files, templates and case studies
  • Refreshments and lunch on classroom deliveries
  • Certificate of completion
  • Post-course application plan

Frequently asked questions

Participants need familiarity with bank financial statements, common banking risks and basic capital or liquidity measures. Prior stress-testing, programming and econometrics experience is not required.

Bring a laptop if attending in person, as the course uses financial data, templates and structured case materials. Participants may also bring non-confidential examples of their institution's stress-testing questions, policies or reporting challenges.

The course is designed for professionals in enterprise risk, finance, treasury, ALM, credit risk, model risk, regulatory reporting, compliance and internal audit. It is particularly useful for staff supporting ICAAP, ILAAP, recovery planning or board risk reporting.

General risk courses explain risk categories and controls, while financial modelling courses focus mainly on spreadsheet techniques. This course connects scenarios, risk models, capital, liquidity, governance and management actions in a bank stress-testing process.

Participants can use the templates to review their current stress-testing scope, scenario design, data controls, model documentation and reporting. The completed case pack provides a practical reference for preparing internal tests, ICAAP or ILAAP submissions.

The first part establishes stress-testing architecture, scenario design, data requirements and core credit, impairment and capital methods. The later modules address liquidity, market and non-financial risks, reverse tests, governance, reporting and an integrated capstone presentation.

Questions about this course?

Ask about dates, fees, group bookings or running it for your team. Our training team replies by email.

Ask on WhatsApp info@skillsetdevelopment.com

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