Lately, our business has been CECL, CECL and more CECL, but if all goes well, Andy will present two sessions on the other type of loss forecasting at Risk.net’s Stress Testing Training in New York City on March 26 & 27.

1. Building a Stress Testing Framework

• • If you can’t forecast losses, how can you manage your …., well, anything?
  • Loss forecasting and, specifically, stress testing as the keystone risk management tool
  • Regulatory and routine versus flexible and ad hoc exercises
  • Deriving value through strong governance of stress test model development and updating

2. Stress Testing and the Corona Virus

• • Alternative methodologies for ad hoc analyses
  • Direct and indirect effects on financial institutions
  • Best practices through the application of a sound framework
  • “Throw away nothing” or using developmental scraps to adapt tests to new (shock) scenarios

The first presentation describes a general framework that allows for actual risk management through a unified measure—losses—rather than the usual risk reporting and reviewing—which is often conflated with management and doing—with its hundreds (or thousands) of incongruent, noncomparable and nonsummable signals.

The second presentation is more of a “how to” session. It provides solutions to the pressing problem that many risk managers face, today: how to develop loss estimates using available models and analyses in a novel scenario—characterized by a unique set of environment shocks. It’s easier with a sound framework as a foundation. However, with creativity and forethought, it’s possible to revise either existing regulatory tests or CECL estimates to include relevant sensitivities—different equations and coefficients—to provide credible answers to the question: “how much can we lose?”