Integrating Stress Scenarios into Risk Quantification Models

Autor:	Bakhodir Ergashev, Azamat Abdymomunov, Sharon Blei
Rok vydání:	2014
Předmět:	Interest rate risk Economics and Econometrics Risk Estimate Risk analysis (engineering) Stress test Computer science Accounting Context (language use) Scenario analysis Stress testing (software) Finance Operational risk Credit risk
Zdroj:	Journal of Financial Services Research. 47:57-79
ISSN:	1573-0735 0920-8550
DOI:	10.1007/s10693-014-0194-6
Popis:	We enhance the method of integrating scenarios proposed in Ergashev (J Financ Serv Res 41(3):145–161, 2012) into risk models. In particular, we provide additional theoretical insights of the method with focus on stress testing Value-at-Risk models. We extend the application of the method, which is originally proposed for scenario analysis in the operational risk context, to market and credit risks. We provide detailed application guidance of the method for market, credit, and operational risks. The method (i) ensures that a stressed model produces a higher risk estimate than the model based on historical data only and (ii) does not require assumptions on stressed loss distributions, thereby simplifying the scenario generation process.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::88b54c2a439cbcd56d57b97a33eb7f3a https://doi.org/10.1007/s10693-014-0194-6 Zobrazit plný text záznamu Full text from SpringerLink