Presented by: 
Dr Roxane Foulser-Piggott
Tue 10 Oct, 1:00 pm - Tue 17 Oct, 3:00 pm

Stress tests form an integral part of strategic decision making in financial institutions as well as ensuring that financial institutions meet regulatory requirements by being "unquestionably strong".  This workshop gives students the opportunity to learn how stress tests are conducted in practice.  Students will conduct a stress test; defining extreme scenarios and analysing the impacts of these scenarios on a bank's capital position.  The workshop will be 2 sessions of approximately 2 hours each over 2 weeks, with a strong focus on developing skills that will be useful in industry. 

Tuesday - 10th October 2017 (1-3pm) & Tuesday - 17th October 2017 (1-3pm) in room 110, Building 69, UQ St Lucia campus.

Skills required:  An interest in finance, basic programming skills, numerical and statistical analysis skills.  Students in all research areas are welcome to attend.

Key learning outcomes:  An understanding of (i) the components of capital stress testing; (ii) how to write a program to conduct a stress test; (iii) how to analyse and present the results.

Speaker:  Dr Roxane Foulser-Piggott is a leader in Financial Risk Analytics for Suncorp Bank, specialising in model validation and stress testing and an Honorary Fellow in the School of Mathematics and Physics at The University of Queensland where she supervises MFinMath students.  Her previous professional experience in finance includes quantitative analysis at the Australian Securities Exchange (ASX) developing scenario generation models.  Roxane has a PhD from Imperial College London in the development of natural catastrophe hazard prediction and loss estimation models.  She has consulted extensively for the UK Foreign and Commonwealth Office, European Commission and World Bank as well as for a number of private organisations including Willis Reinsurance and Lloyds of London.  Roxane continues her research in risk analysis and catastrophe modelling, publishing in world-leading journals.