May, 2015


Four Lessons from Stress Testing Exercise

“It very quickly became apparent that this was not a one- or two-month exercise,” said Charyn Faenza, Vice President, Manager of Corporate Business Intelligence Systems at First National Bank, the largest subsidiary of the largest subsidiary of FNB Corporation. She was the second of two presenters at the May 19, 2015, webinar on Stress Testing Modeling sponsored by the Global Association of Risk Professionals. Faenza was referring to her bank’s experience as an example of a “DFAST 10-50” bank that is required to conduct an annual stress test. She drew four important lessons from the exercise. Good Modeling Requires Good […]

“Not Only The What But The How”

When it comes to financial data for stress testing, there’s a good news-bad news aspect. The good news may be that a bank did not suffer severe financial stress but the bad news is that it will be harder for the bank to model “bad events” if it does not have such data. And banks “will get written up if [the regulators] don’t believe their bad events,” said Tara Heusé Skinner, Manager at SAS Risk Research & Quantitative Solutions, and co-author of The Bank Executive’s Guide to Enterprise Risk Management. She was the first presenter of two at the May […]

Three Takeaways

Does it ever seem awkward to run Visual Basic subroutines within Microsoft Excel? If you have a plain unvarnished subroutine, you must click through to the Developer tab, and then point and click to find the macro of interest. “There are more convenient ways to access the macros you build,” said Andrew Nikolishyn of Vesta Solutions. He was the instructor of a day-long seminar on “Visual Basic for Financial Professionals,” held on location at the CFA Society of Toronto on May 1, 2015. In Part 1 of this posting, I described how participants could access the Developer tab to create […]

Hum a Few Bars and I’ll Fake It

How far can you go at reducing the tedium in your spreadsheet usage? On May 1, 2015, nearly twenty people attended a day-long seminar “Visual Basic for Financial Professionals,” held on location at the CFA Society of Toronto. The seminar was conducted by Andrew Nikolishyn, CFA, of Vesta Solutions. I often use Microsoft Excel as a scratch pad and a tally sheet, but lately I’ve had to do connected tasks on a regular basis, involving recent financial data. I prepare a graph from the data, and I also run a simple present value calculation, to compare with the previous month’s […]