Basel Stress Testing Training Course

Duration 10 days 20 modules · 65 contact hours
Level Intermediate Certificate on completion
Who attends Enterprise Risk Managers, Capital 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-069

Before you join: Participants should understand bank balance sheets, income statements, capital ratios and the main categories of credit, market, liquidity and operational risk.

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 is a core management and supervisory discipline, not simply a regulatory reporting task. Banks need to show how severe but plausible shocks affect capital, liquidity, earnings, credit losses, market positions and operational capacity. Weak scenario design, fragmented data, unsupported management actions or poorly governed models can produce misleading results and weaken ICAAP, ILAAP, recovery planning and board decisions.

This course develops the practical methods used to design, execute, review and govern stress tests under Basel frameworks. Participants work through the Basel principles for sound stress testing, risk appetite integration, macroeconomic scenario construction, credit-risk migration analysis, market-risk repricing, liquidity cash-flow projections, interest-rate risk in the banking book and capital planning. The course also addresses IFRS 9 expected credit loss interactions, reverse stress testing, model risk, aggregation, reporting and supervisory challenge.

Teaching combines short technical briefings with banking cases, facilitated calculations, team-based scenario work, management simulations and structured review of stress-testing outputs. Participants progressively build components of a bank stress-testing pack during the course, using supplied templates and assumptions. They leave with a complete stress-testing framework pack containing governance, scenario, methodology, reporting and remediation elements that can be adapted to their institution.

The course is suited to risk, finance, treasury, credit, model risk and internal audit professionals who contribute to bank-wide stress testing or review its results. It is also relevant to supervisors and assurance professionals assessing stress-testing governance and evidence.

What you will be able to do

  • Design Basel-aligned stress-testing governance, policy and escalation arrangements
  • Construct macroeconomic scenarios with quantified transmission channels and severity assumptions
  • Calculate stressed credit losses using PD, LGD, EAD and migration approaches
  • Project stressed capital ratios through profit, loss, RWA and capital actions
  • Model liquidity stress using contractual cash flows, behavioural assumptions and contingency funding
  • Assess IRRBB, market-risk and concentration-risk impacts under defined shocks
  • Perform reverse stress testing to identify capital or liquidity failure points
  • Present a documented bank-wide stress-testing pack for management and board review

Benefits of attending

For you

  • Produce defensible stress-testing documentation for senior management and supervisors
  • Connect macroeconomic shocks to capital, liquidity and earnings consequences
  • Challenge scenario assumptions, model limitations and proposed management actions
  • Contribute credibly to ICAAP, ILAAP and recovery-planning cycles
  • Build a reusable portfolio of stress-testing templates and review checklists

For your organisation

  • Improves traceability from scenarios through models to reported capital and liquidity impacts
  • Strengthens board oversight of vulnerabilities, triggers and management actions
  • Reduces inconsistencies between risk, finance, treasury and credit stress-testing outputs
  • Supports better evidence for ICAAP, ILAAP, recovery planning and supervisory dialogue
  • Identifies capital and funding weaknesses before adverse conditions materialise

Course modules

20 modules over 10 days

Participants can explain the purpose, scope and core components of a Basel-aligned stress-testing framework.

  • Basel stress-testing principles and their application to bank-wide risk management
  • Purpose distinctions between regulatory, management, recovery and reverse stress testing
  • Board, senior management and independent challenge responsibilities under Basel principles
  • Stress-testing links with ICAAP, ILAAP, risk appetite and recovery planning
  • Material risk inventory mapped to capital, liquidity and earnings vulnerabilities
  • Annual stress-testing cycle, ad hoc testing and event-driven scenario triggers

Participants can design governance structures, policies and controls for an accountable stress-testing process.

  • Stress-testing policy scope, objectives, roles, approvals and review requirements
  • Three-lines accountabilities for model ownership, challenge, validation and assurance
  • Define materiality thresholds for portfolios, entities, scenarios and model changes
  • Data lineage controls from source systems through calculations to board reports
  • Issue management workflow covering findings, owners, deadlines and escalation
  • Management action governance separating assumed actions from approved contingency actions

Participants can connect stress-test results to risk appetite metrics, limits and management decisions.

  • Risk appetite statements translated into stressed capital and liquidity metrics
  • Calibrate early-warning indicators, limits, triggers and escalation thresholds
  • Compare baseline forecasts, adverse scenarios and risk appetite boundaries
  • Link business planning assumptions with stressed balance-sheet and profitability projections
  • Document decisions supported by stress results, limitations and residual uncertainties
  • Risk committee reporting focused on vulnerabilities, options and accountable actions

Participants can build coherent, severe but plausible macro-financial stress scenarios.

  • Scenario narratives translated into measurable macroeconomic and financial risk factors
  • Historical analysis of recessions, crises and market dislocations informs calibration
  • Baseline, adverse and severely adverse scenarios with internally consistent paths
  • GDP, unemployment, inflation, property prices and interest-rate shock selection
  • Exchange-rate, credit-spread and equity-price shocks linked to portfolio exposures
  • Severity calibration using historical percentiles, sensitivities and expert judgement

Participants can map scenario variables to risk drivers, financial statements and balance-sheet responses.

  • Macroeconomic transmission maps connecting shocks to defaults, margins and funding costs
  • Static balance-sheet assumptions compared with dynamic balance-sheet projection approaches
  • Feedback loops between credit losses, capital pressure, ratings and funding access
  • Behavioural assumptions for deposit attrition, drawdowns, prepayments and refinancing
  • Segment exposures by geography, product, borrower type and collateral characteristics
  • Reconcile projected balance-sheet changes with finance planning and treasury forecasts

Participants can establish data requirements and reconciliation controls for reliable stress-test production.

  • Critical data elements for exposure, collateral, cash flow and capital projections
  • Granularity choices between portfolio models, segment overlays and expert judgement
  • Reconcile risk exposures to general ledger, regulatory returns and management information
  • Data quality tests for completeness, accuracy, timeliness and historical consistency
  • Aggregation methods across legal entities, currencies, portfolios and risk types
  • Document data transformations, manual adjustments and compensating control evidence

Participants can select and apply core methods for estimating stressed credit-risk losses.

  • Expected-loss framework using stressed PD, LGD, EAD and discounting assumptions
  • Satellite models linking macroeconomic variables to default and migration rates
  • Transition matrices adjusted for downturn migration and cure-rate assumptions
  • Collateral haircuts, foreclosure delays and workout costs within stressed LGD
  • Credit conversion factors for undrawn commitments under funding stress
  • Portfolio segmentation for retail, SME, corporate, sovereign and financial exposures

Participants can assess concentrated exposures and interconnected counterparties under adverse conditions.

  • Single-name concentration analysis using default, downgrade and recovery shock assumptions
  • Sector concentration stress for commercial real estate, energy and construction
  • Geographic concentration assessment using regional macroeconomic and property-price shocks
  • Wrong-way risk where counterparty quality deteriorates with market exposures
  • Counterparty credit stress for derivatives, securities financing and clearing members
  • Contagion pathways through common lenders, collateral values and funding markets

Participants can explain and quantify key interactions between stress testing and IFRS 9 impairment.

  • IFRS 9 staging criteria and significant increase in credit risk
  • Forward-looking macroeconomic scenarios within probability-weighted expected credit loss estimates
  • Lifetime PD curves and stressed term structures for Stage 2 exposures
  • Management overlays, post-model adjustments and governance of judgemental provisions
  • Reconcile regulatory expected-loss measures with accounting impairment and capital impacts
  • Avoid double counting between stressed provisions, capital deductions and credit losses

Participants can estimate market-risk and valuation effects from severe financial-market movements.

  • Sensitivity-based repricing for interest rates, foreign exchange, equities and commodities
  • Historical and hypothetical shocks applied to trading-book risk factor positions
  • Credit-spread widening effects on bonds, loans and fair-value reserves
  • Basis risk, correlation breakdown and volatility shocks during market dislocation
  • Valuation adjustments for liquidity reserves, bid-ask spreads and model uncertainty
  • P&L attribution separating market movements, position changes and valuation adjustments

Participants can assess banking-book interest-rate vulnerability using Basel IRRBB measures.

  • Basel IRRBB principles, economic value and net interest income perspectives
  • Parallel, steepener, flattener and short-rate shock scenarios for banking books
  • Economic value of equity sensitivity from discounted behavioural cash flows
  • Net interest income projections under repricing gaps and margin compression
  • Non-maturity deposit assumptions, beta models and behavioural maturity evidence
  • Prepayment, early redemption and pipeline risk under changing interest rates

Participants can project liquidity survival and funding needs under idiosyncratic and market-wide stress.

  • Contractual maturity ladder built from inflows, outflows and contingent commitments
  • Liquidity coverage ratio assumptions under stressed run-off and collateral calls
  • Net stable funding ratio implications from balance-sheet and funding changes
  • Deposit run-off scenarios segmented by retail, corporate, operational and uninsured balances
  • Market-access stress covering wholesale rollover, secured funding and haircuts
  • Liquidity survival horizon calculated against counterbalancing capacity and funding actions

Participants can incorporate material operational and non-financial risk events into bank-wide stress tests.

  • Operational risk scenarios covering cyber incidents, fraud, conduct and processing failures
  • Loss-event severity estimates using internal incidents and external loss data
  • Business continuity assumptions for system outages, third-party failures and staff disruption
  • Legal, conduct and reputational risk channels affecting earnings and funding confidence
  • Climate-related physical and transition risk pathways into financial stress scenarios
  • Aggregate non-financial losses without obscuring interactions with credit and liquidity risk

Participants can project stressed regulatory capital ratios and identify capital adequacy pressures.

  • CET1, Tier 1 and total capital ratios under projected losses
  • Profit-and-loss forecast linking revenue, expenses, impairments and market valuation changes
  • Risk-weighted asset projections from ratings migration, volume changes and model effects
  • Capital buffers, output floors and regulatory minimums within stressed ratio analysis
  • Dividend, bonus and issuance assumptions governed as conditional management actions
  • Capital depletion timeline and management buffer analysis under adverse scenarios

Participants can assess credible management actions against stressed capital and liquidity shortfalls.

  • Management action catalogue covering capital, liquidity, balance-sheet and cost measures
  • Assess feasibility, timing, capacity, execution risk and second-order consequences
  • Recovery-plan options aligned with quantitative indicators and escalation triggers
  • Separate pre-positioned actions from actions requiring market access or approvals
  • Quantify action benefits using conservative assumptions and documented implementation lags
  • Challenge management actions for double counting, circularity and reputational constraints

Participants can identify scenarios that render a business model or funding position unviable.

  • Reverse stress-testing purpose, scope and failure definition under Basel principles
  • Define viability thresholds for capital, liquidity, funding access and franchise damage
  • Work backwards from breach points to combinations of causative risk drivers
  • Identify plausible narratives connecting adverse events, amplifiers and control failures
  • Assess vulnerability indicators that signal approach toward reverse-stress outcomes
  • Translate reverse-stress findings into contingency plans, limits and monitoring metrics

Participants can evaluate stress-test model fitness, uncertainty and expert-judgement governance.

  • Model inventory records covering purpose, methodology, inputs, outputs and owners
  • Conceptual soundness review of scenario models, satellite models and overlays
  • Benchmarking, back-testing and sensitivity analysis for stressed loss estimates
  • Outcome analysis against realised performance and prior stress-test projections
  • Expert judgement protocols documenting rationale, evidence, approval and expiry dates
  • Model limitations communicated through uncertainty ranges, caveats and escalation requirements

Participants can prepare concise, decision-focused stress-test reporting for executive and board audiences.

  • Waterfall charts explaining capital-ratio movements from baseline to stressed outcomes
  • Liquidity dashboards showing survival horizon, outflows, capacity and trigger breaches
  • Scenario comparison tables highlighting drivers, sensitivities and material uncertainties
  • Board papers distinguishing facts, judgements, limitations and proposed decisions
  • Escalation narratives linked to risk appetite breaches and recovery-plan indicators
  • Evidence packs supporting supervisory review, audit testing and management challenge

Participants can assess a stress-testing framework against supervisory expectations and assurance criteria.

  • Basel principles used as review criteria for governance and methodological adequacy
  • ICAAP and ILAAP evidence expectations for stress severity and capital planning
  • Internal audit testing of controls, data lineage, approvals and issue closure
  • Independent challenge questions for assumptions, aggregation and management actions
  • Common supervisory findings involving weak scenarios, unsupported overlays and poor documentation
  • Remediation plans prioritised by prudential materiality, ownership and target dates

Participants can build, review and present a complete bank-wide stress-testing pack with a defensible scenario, quantified impacts, governance evidence and management response.

  • Define a material bank profile, risk inventory and planning baseline
  • Construct an adverse scenario with coherent macroeconomic and market variables
  • Estimate credit, market, IRRBB, liquidity and operational risk impacts
  • Project stressed profit, risk-weighted assets, capital ratios and liquidity survival
  • Document assumptions, model limitations, data controls and expert judgements
  • Present board recommendations, management actions, triggers and remediation priorities

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

What you take back to work

  1. Basel-aligned stress-testing policy template
  2. Macroeconomic scenario design workbook
  3. Capital and liquidity projection model
  4. Stress-testing data lineage checklist
  5. Model limitation and expert-judgement register
  6. Board stress-testing report pack

Who should attend

  • Enterprise Risk Managers — responsible for bank-wide stress-testing frameworks and aggregation
  • Capital Planning Analysts — translate stress results into ICAAP capital projections
  • Treasury and ALM Managers — assess liquidity, funding and IRRBB vulnerabilities
  • Credit Risk Managers — model stressed defaults, recoveries, migrations and concentrations
  • Model Risk and Validation Specialists — review assumptions, limitations and model performance
  • Internal Auditors and Supervisors — challenge governance, evidence and management responses

Skills and tools covered

Stress-test designCapital planningLiquidity modellingScenario analysisModel risk governanceBoard risk reporting

Tools and standards

Basel Principles for Sound Stress Testing Practices and Supervision, Basel III capital framework, Basel IRRBB standards, IFRS 9 Financial Instruments

How the course runs

Training methodology

The course uses short instructor briefings to establish Basel requirements and technical methods, followed by banking cases and guided calculations. Teams interpret macroeconomic data, construct scenarios, estimate risk impacts and review management responses. Simulations place participants in risk committee and board-reporting roles, requiring clear challenge of assumptions and evidence. Each module adds a component to a stress-testing pack, while instructor feedback focuses on traceability, governance, model limitations and decision usefulness. Participants complete individual application planning for their own institution or supervisory remit.

Requirements and prerequisites

Participants should understand bank balance sheets, income statements, capital ratios and the main categories of credit, market, liquidity and operational risk. Familiarity with Basel capital terminology, including CET1, risk-weighted assets, PD, LGD and EAD, is expected. Experience in risk management, treasury, finance, audit or regulatory supervision is useful. Participants do not need to be quantitative modellers or programmers, and advanced econometrics is not required. The course explains modelling choices and calculations at a level suitable for informed users, reviewers and framework owners.

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 should understand basic bank financial statements, risk categories and Basel capital terminology. Advanced quantitative modelling, programming and econometrics are not required.

Bring a laptop for case calculations and template work. Participants may also bring non-confidential risk appetite metrics, stress-testing policies or reporting formats for application planning.

It suits risk, finance, treasury, credit, model risk, audit and supervisory professionals with responsibilities for stress testing or its review. It is designed for practitioners who need to interpret and challenge results, not only build models.

Basel capital courses focus mainly on capital rules and ratio calculation, while risk-modelling courses focus on technical model construction. This course connects scenarios, risk models, balance-sheet projections, governance, management actions and board decisions.

Participants can use the supplied templates to review their current framework, improve scenario documentation and strengthen reporting. The capstone structure provides a practical format for preparing a stress-testing pack or reviewing one submitted by another team.

The first week establishes governance, scenarios, data and major risk methodologies while participants build core pack components. The second week deepens capital, liquidity, reverse stress testing, validation, reporting and assurance before the final 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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