新加坡金融管理局关于信用压力测试的技术文档，有一定的参考价值！

CONTENTS 
SECTION A: WHAT & WHY................................ ................................ .....................1
1  INTRODUCTION...................................................................................................1
1.1  Two-pronged approach to Credit Risk management ................................2
1.2  What is Stress-testing ....................................................................................3
1.3  Features of Previous Stress Events................................ .............................3
1.4  Relevance of Stress-tests to Emerging Markets........................................4
1.5  Why Publish a Technical Paper on Credit Stress-testing.........................6
SECTION B: HOW................................ ................................ ................................ .....8
2  ELEMENTS OF A GOOD CREDIT STRESS-TESTING PROGRAMME .....................8
2.1  Large Moves ....................................................................................................8
2.2  Related to Portfolio and Economic environment ........................................8
2.3  Includes all Relevant Risk Factors ...............................................................8
2.4  Top management Buy -in / Plausibility ................................ .........................9
2.5  Report few Stress-Test Results ....................................................................9
2.6  Remedial Measures/ Granularity..................................................................9
2.7  Update Stress -Tests Regularly................................ ................................ .....9
2.8  Documented Policy................................ ................................ .......................10
3  CREDIT STRESS-TESTING FOR THE LOAN BOOK - TOOLS..............................11
3.1  Obligor Rating System.................................................................................11
3.2  Credit Portfolio Risk Management System (CPRMS) .............................12
4  CONSTRUCTING A STRESS-TESTING PROGRAMME.........................................14
4.1  Ensure Reliable Data....................................................................................15
4.2  Survey Portfolio/Environment; Identify important Risk Factors .............16
4.3  Construct Stress -Tests.................................................................................25
4.4  Decide Magnitude of factor shock ..............................................................30
4.5  Run Stress-tests ............................................................................................30
4.6  Report Results................................ ................................ ...............................31
4.7  Reassess Relevance of Stress-Tests ........................................................31
SECTION C: APPLICATIONS & CONCLUSIONS.............................................32
5  APPLICATIONS..................................................................................................32
5.1  Identifying Risk Concentrations ..................................................................32
5.2  Restructuring Positions / Hedging..............................................................32
5.3  Monitoring Stress Loss against Limits ................................ .......................32
5.4  Spurring Discussion......................................................................................32
6  CONCLUSIONS..................................................................................................34
SECTION D: APPENDICES................................ ................................ ...................35
7  TECHNICAL ANNEXURE....................................................................................35
7.1   Correlation Matrix..........................................................................................35
7.2   Monte Carlo Simulations..............................................................................35
7.3   Extreme Value Theory ..................................................................................36
8  GLOSSARY................................ ................................ ................................ .......37
9  LIST OF ABBREVIATIONS..................................................................................38
10  REFERENCES................................ ................................ ................................ ...39