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Model Stress Testing

To a credit portfolio model builder and user, “stress testing”
may mean subjecting the model’s inputs to extreme values
on a standalone basis and in combination, in order to
determine limitations in the predictive capabilities of the
model

E.g.:

Concentrating all exposures into the same systematic
risk factor (e.g., the same country and industry)

Replacing empirical correlations with near-perfect
correlations

Usage and Integration in Risk Governance
• Problems:
– Insufficient ability to identify correlated tail exposures and risk
concentration across the bank.
• Solutions:
– Start with risk exposures (including market, credit, operational and
liquidity risks) of individual business lines and market factors that
drive them;
– Perform simulation and stress testing of full collection of risk factors
across asset classes and business lines;
– Construct the integrated distribution of risks thus capturing
correlated tail exposures and risk concentrations across the balance
sheet.

金融海啸后的监理趋势
•扩大金融监理范围，将避险基金、私募基金、保险、信评机构、金融商品、及金融市场
  -公开化、透明化、课责性(由高层主管开始)
  -集中结算衍生性商品交易
–保护投资人
•强化资本适足性,阻止过度财务杠杆-Stress Test ，动态资本适足率调整。

多谢了 赞一个 …………