Stress testing
Volume 7/Number 4, Winter 2012/13
Marcelo Cruz Welcome to the fourth issue of the seventh volume of The Journal of Operational Risk. As the end of the year approaches and the arrival of the holiday season is felt all over the world,...
Reverse stress testing is set to become standard practice under Solvency II as part of the validation process for internal models, yet for most European insurers such tests are a new concept. Clive Davidson...
As banks get to grips with the business and financial implications of Basel III, the next step for many is to understand how they can develop their banking infrastructure to implement the regulations....
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Stress testing articles
Sponsored statement: Moody's Analytics
A chief executive officer’s guide to building competitive advantage through next-generation enterprise risk management, by Rob Wyle, head of ALM product management at Moody’s Analytics
Further recipes for quantitative reverse stress testing
As a consequence of the 2007-9 financial crisis, the regulatory authorities now oblige banks to carry out reverse stress tests. This new instrument in the stress test toolbox aims to find those scenarios that cause a bank to cross the frontier between...
Sponsored Q&A: Moody's Analytics
The post-crisis financial regulatory reform agenda has renewed industry focus on stress-testing approaches in reaction to the perceived lack of market confidence in the tools, assumptions and metrics used to measure risk, project losses and estimate capital....
Stress testing with fully flexible causal inputs
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
Credit Risk USA: Real estate, rates and bank competition a concern...
Deputy comptroller gives sneak-preview of possible systemic threats that will be highlighted in a forthcoming OCC report
Stress test struggle: separating liquidity and market risks
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 risks in stress tests. Some banks are building tests...
Stress testing with fully flexible causal inputs
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
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
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