Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

stress testing sign in to follow this
credit sign in to follow this
Monte Carlo sign in to follow this
factor model sign in to follow this
importance sampling sign in to follow this

VaR Methods sign in to follow this
--Parametric sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Computational Issues in Stress Testing
Company: Handbook of Computational Finance
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: October
Resource Link: Click here to open
Pages: 651-674
Download Count: 0
View Count: 1518
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 5-23-2012
Publisher: Administrator
Stress testing should be an integral part of any risk management approach for financial institutions. It can be basically viewed as an analysis of a portfolio of transaction under severe but still reasonable scenarios. Those scenarios might be based on a sensitivity analysis with respect to the model parameter, like a large shift in spread curves, or an increase in default probabilities. Then the corresponding transaction and portfolios are revalued at those stressed parameters. This does not increase the computational effort compared to the revaluation under the assumed normal statistical scenario. However a second class of stress testing approaches relies on the factor model usually underlying most portfolio risk models. In credit risk this might be an asset-value model or a macro-economic model for the default rates. In market risk the factor model are interest rates, spread indices and equity indices. The stress can then be formulated in terms of severe shocks on those factors. Technically this is based on the restricting the sample space of factors. If one wants now to assess the risk of a portfolio under those factor stress sc
Overbeck, Ludger Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile