Tools for Developing Stress Testing Scenarios in the Banking Sector


Stress tests provide estimates of what the financial performance of individual banks will be under various hypothetical negative scenarios. After the 2007-2009 Global Financial Crisis financial regulators in many countries began to pay particular attention to stress testing to assess the possible negative economic environment from the perspective of banks as separate institutions.

One of the crucial components for successful stress testing is the choice of scenarios namely the depth of the shock and its duration. The selected systemic shock in which financial institutions will face financial difficulties simultaneously will affect the ability to provide financial intermediation. Timur Abilkassymov FRM will explain how stress scenarios are created for conducting supervisory stress testing including what tools are used. Among the topics Timur will cover:

•An overview of the banking sector of Kazakhstan and key regulatory actions performed before beginning supervisory stress testing

•The scenario design process and how macro financial parameters are modeled

•A description of the tools used for scenario modeling


Welcome/introduction: 6:00 – 6:05pm KZT

Presentation: 6:05 – 6:45pm KZT

Q&A Session: 6:45 – 7:00pm KZT

Attendees qualify for one GARP CPD credit.

Attendees qualify for 1 GARP CPD credit.

Chapter Speakers

Timur Abilkassymov, FRM

Advisor to the Chairperson at The Agency of the Republic of Kazakhstan for Regulation and Development of Financial Market

As an advisor to the Chairperson, Timur participates in issues related to financial stability, economic and mathematical modeling, stress testing of the banking sector, etc. Timur has a degree in Business Economics and Public Policy Economics from the Kazakhstan Institute of Management, Economics and Strategic Research (KIMEP), and earned an MBA in Risk Management from the London School of Business and Finance. He also holds certificates in operational risk management (CORP), Basel III and Data Science.

Previously, Timur was a partner of the consulting company “Radius Advisory Lab” LLP where he advised commercial banks and large corporations in Kazakhstan and Uzbekistan on improving risk management systems, corporate governance and implementing IFRS standards. He has also worked for companies of the quasi-public sector as well as commercial banks. Timur is a member of the Club of Young Experts under the Senate of the Parliament of the Republic of Kazakhstan.

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November 8, 2021 6:00 PM - 7:00 PM
Online Meeting

Chapter Directors

Vadim Kim
Managing Director (CRO) Otan Bank Private Company
Daniyar Kelbetov

Committee Members

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