Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments
| Autor: | A. M. Karminsky, E. V. Seryakova |
|---|---|
| Jazyk: | English<br />Russian |
| Rok vydání: | 2015 |
| Předmět: | |
| Zdroj: | Vestnik MGIMO-Universiteta, Vol 0, Iss 4(43), Pp 53-63 (2015) |
| Druh dokumentu: | article |
| ISSN: | 2071-8160 2541-9099 |
| DOI: | 10.24833/2071-8160-2015-4-43-53-63 |
| Popis: | Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress-testing of the portfolio of different financial instruments. These days the topic of the paper is highly acute due to the fact that now stress-testing is becoming an integral part of anticrisis risk-management amid macroeconomic instability and appearance of new risks together with close interest to the problem of risk-aggregation. The paper outlines the notion of stress-testing and gives coverage of goals, functions of stress-tests and main criteria for market risk stress-testing classification. The paper also stresses special aspects of scenario analysis. Novelty of the research is explained by elaborating the programme of aggregated complex multifactor stress-testing of the portfolio risk based on scenario analysis. The paper highlights modern Russian and foreign models of stress-testing both on solo-basis and complex. The paper lays emphasis on the results of stress-testing and revaluations of positions for all three complex models: methodology of the Central Bank of stress-testing portfolio risk, model relying on correlations analysis and copula model. The models of stress-testing on solo-basis are different for each financial instrument. Parametric StressVaR model is applicable to shares and options stress-testing;model based on "Grek" indicators is used for options; for euroobligation regional factor model is used. Finally some theoretical recommendations about managing market risk of the portfolio are given. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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