The dangers of complacency, excessive risk and management failures
This paper proposes a formula for a market stress test of a portfolio.
More Stress testing articles
'Capital is not the answer to everything,' says Bernardino
Firms to apply sovereign crisis and 'Japanification' scenarios
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia ...
Severe financial turbulence is driven by high impact and low probability events that are the hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme tail of a probability...
Fixed scenarios "could be procyclical"
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. ...
Multivariate analysis is a powerful tool for finding significant relationships between business environment and risk losses
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.