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
Deputy comptroller gives sneak-preview of possible systemic threats that will be highlighted in a forthcoming OCC report
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...
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More Stress testing articles
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....
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...
Steve Satchell University of Cambridge 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...
OCC regulator warns risk managers to re-examine data integrity and be wary of model risk
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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