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

stress testing sign in to follow this
backtesting sign in to follow this
validation sign in to follow this

Stress Testing sign in to follow this
--Methods sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Validation of Stress Testing Models
Company: Analytics of Risk Model Validation
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: November
Resource Link: Click here to open
Pages: 13-25
Download Count: 0
View Count: 1361
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 8-10-2012
Publisher: Administrator
Stress testing has gained importance in financial institutions with the introduction of Basel II. Although discussed from many perspectives, the predominant use for stress testing is in predicting how a portfolio would respond to changes in the macroeconomic environment. The future environment is encapsulated in a macroeconomic scenario for an extreme situation and then fed through a scenario-based forecasting model. Validating stress testing models is inherently difficult, because financial institutions do not have historical data representing portfolio performance through many severe recessions. Data availability presents challenges for standard in-sample/out-of-sample tests. This chapter discusses these limitations and describes a suite of tests that may be employed to determine the robustness of stress test models. Particular emphasis is given to retail portfolios, which have received very little attention in the literature.
(Chapter 2)
Breeden, Joseph L. 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