SAS Institute Inc.
Jimmy Skoglund is Principal Product Manager at SAS. He has more than 15 years’ experience developing and implementing risk methodologies, both at SAS and previously at banks. Jimmy has worked in various areas of risk management, including market, credit and liquidity risk. He holds a PhD from Stockholm School of Economics and is a regular contributor to publications in risk & finance journals and has also published a comprehensive financial risk management book with Wiley Finance.
In this paper, the author's aim is to empirically analyze the numerical quantification of model risk, yielding exact buffers in currency amounts (for a given model uncertainty).
This paper focuses on the corporate stress testing models for credit risk.
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.