Stress testing
Credit Risk USA: Real estate, rates and bank competition a concern...
Published online only
Source: Risk magazine
Deputy comptroller gives sneak-preview of possible systemic threats that will be highlighted in a forthcoming OCC report
Original headline:
Source: Risk magazine
The financial crisis has been marked by episodes of extreme illiquidity, affecting everything from collateralised debt obligations to government bonds, but there has been little attempt to reflect these...
Original headline:
Source: Life & Pension Risk
Propagating causal stress tests on selected risk factors to all the risk drivers is a challenging task. Attilio Meucci relies on entropy pooling to address this issue
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More Stress testing articles
National Bank of Belgium's Rudi Bonte on his first year of twin-peaks...
Original headline:
Source: Operational Risk & Regulation
Rudi Bonte at Belgium’s central bank understands twin peaks supervision, having worked through its implementation there. And as a member of the Basel Committee and the European Banking Authority, he knows what to expect from Basel III and European standards....
US debate grows over value of stress testing
Original headline:
Source: Operational Risk & Regulation
US law now mandates annual stress tests for banks - but their relevance to op risk managers is disputed
Stress testing with fully flexible causal inputs
Original headline:
Source: Risk magazine
Propagating causal stress tests on selected risk factors to all the risk drivers is a challenging task. Attilio Meucci relies on entropy pooling to address this issue
Stress testing a retail loan portfolio: an error correction model approach...
Published online only
Source: Journal of Risk Model Validation
The use of stress testing for risk monitoring has increased considerably over the last decade. Stress testing - a simulation technique used to assess the strength of a portfolio or a financial institution under unusual economic conditions - emerged as...
Latest Issue: Volume 6/Number 1, Spring 2012
Published online only
Source: Journal of Risk Model Validation
The current issue contains four papers covering the topics of model validation and stress testing. It may be that the distinction between these two concepts exists more in the titles of the papers than in the substance. Interestingly, a common theme running...
OpRisk North America: Too much confidence in risk models, OCC’s Levonian...
Published online only
Source: Risk magazine
OCC regulator warns risk managers to re-examine data integrity and be wary of model risk
Stronger defences needed: stress testing a eurozone break-up
Original headline:
Source: Risk magazine
Banks need more capital if they are to survive the worst eurozone scenarios being envisaged by some institutions, say Barry Schachter and Lance Smith
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