Stress Testing for Financial Institutions
First published:
ISBN: 9781906348113
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Stress-Testing Credit Distributions of Banks’ Portfolios: Risk Structure and Concentration Issues
Adolfo Rodríguez, Carlos Trucharte
Integrating Stress-Testing Frameworks
Stress Tests, Market Risk Measures and Extremes: Bringing Stress Tests to the Forefront of Market Risk Management
Credit Cycle Stress Testing Using a Point-in-Time Rating System
Stress-Testing Credit Value-at-Risk: a Multiyear Approach
Stress Testing the Impact of Group Dependence on Credit Portfolio Risk
Hedge the Stress: Using Stress Tests to Design Hedges for Foreign Currency Loans
Survey of Retail Loan Portfolio Stress Testing
Stress Tests for Retail Loan Portfolios
Stress-Testing Banks’ Credit Risk Using Mixture Vector Autoregressive Models
Uncertainty, Credit Migration, Stressed Scenarios and Portfolio Losses
Worst-Case and Stressed Correlations in the Asymptotic Single Risk Factor Model
Risk Aggregation, Dependence Structure and Diversification Benefit
Stress-Testing Credit Distributions of Banks’ Portfolios: Risk Structure and Concentration Issues
Time-Varying Correlations for Credit Risk: Modelling, Estimating and Stress Testing
Macro Model-Based Stress Testing of Basel II Capital Requirements
Risk Tolerance Concepts and Scenario Analysis of Bank Capital
Basel II-Type Stress Testing of Credit Portfolios
Preserving stability in the financial system is one of the main functions of financial authorities. Given the importance of banking within the financial system, it is clear that overall financial stability hinges primarily on that of credit institutions.
Specifically the role that banks play within the financial system, through the credit granting function, is essential to properly channel the flow of financial resources between investors and savers. However, this function is not risk-free. Hence, a proper estimation and an accurate assessment of the features of the distribution of banks’ loan loss rates are essential to obtaining an adequate estimate for protection, and also for coverage against potential losses of banks in their ordinary business.
In this regard financial authorities articulate different mechanisms for achieving the goal of financial stability. In particular, the application of prudential and effective supervision must ensure that banks observe the rules, standards and codes of prudence, which provides them with appropriate levels for the key variables that determine their solvency.
It is in relation to determining how loan loss distributions may be affected
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