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Stress-testing

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Make it personal

Operational risk managers need to do more than merely collating and analysing loss data, they need to add value by working towards the firm's business objectives. This can be achieved using stress testing and scenario analysis, which add a human element…

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Building up Basel II

In an exclusive interview with Risk, Stefan Walter, secretary-general of the Basel Committee on Banking Supervision, discusses everything from capital to pro-cyclicality, while outlining the reform agenda for Basel II. Rob Davies reports

Witches, wizards and stress tests

Even Harry Potter with all his magical skills would have a hard job restoring faith in the global financial system. So in his absence, the US bank stress tests will have to do.

Fully flexible views: theory and practice

Attilio Meucci proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the…

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