Stress Tests and Capital Planning

  • Design coherent scenarios (macro + markets) with FX-rate-liquidity interdependence; dynamic vs static balance sheet.
  • Model credit losses by segment with IFRS9/CECL transitions; market & IRRBB MTM losses; global market shock; counterparty default/CVA. 
  • Link PPNR & funding (deposit betas, NIM under stress) and RWA inflation (FX & downgrades). 
  • Run reverse stress tests to identify failure thresholds and capital gaps.
Horas:
10
Sesiones:
5
Fechas:
2025-10-28
Horario:
18:00 - 20:00 hrs

Descripción

Stress tests aren’t exams—they’re franchise-saving decisions. We translate severely-adverse scenarios—FX devaluations, rate shocks, fat tails, and digital runs into loss paths (credit/market/operational), PPNR/CECLIFRS9 overlays, RWA inflation, and capital actions (dividend stoppers, RWA shedding, AT1/T2, asset sales). You will execute reverse stress testing to find the break point and craft a Capital Plan a hard-nosed supervisor will actually buy.
Modalidad:

$25,000 MXN + IVA (16%)

O $1,285 USD + (16%)

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Conoce a nuestro profesorado

Andrew Aziz
Profesor: Andrew

Quantitative Finance Educator & Risk Analytics Expert

PhD, MBA | Quantitative Finance Educator & Risk Analytics Expert

Andy currently teaches in Master’s-level Financial Engineering programmes at the Schulich School of Business, York University and at the DeGroote School of Business, McMaster University. He holds a PhD in Finance from the Schulich School of Business and an MBA from Queen’s University in Canada.

A recognized expert in risk analytics and quantitative finance, Andy has published extensively and is a frequent speaker at global financial engineering and risk management conferences.

Professionally, Andy brings over two decades of leadership experience in the financial technology sector. Most recently, he served as Head of Product and Chief Strategy Officer at SS&C Algorithmics. He rejoined Algorithmics after holding senior roles as Chief Strategy Officer at d1g1t Inc., and as Partner and Senior Vice President at IHS Markit, where he led the Financial Risk Analytics business line.

Earlier in his career at Algorithmics, Andy held a series of executive positions for over 20 years across Financial Engineering, Product Management, and Professional Services, and led the Buy-Side Business.
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