Download or read book Mod lisation Du Stress Testing Du Risque de Cr dit written by Samir Saissi Hassani and published by Omniscriptum. This book was released on 2010-11 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: L'objectif de cette étude est de construire un modèle de stress testing appliqué au risque de crédit d'un portefeuille de prèts aux particuliers. La modélisation du risque de crédit des prèts aux particuliers n'est pas un cas particulier des modèles du risque de crédit pour les entreprises. Le problème de ce genre de portefeuille est la présence importante d'une composante du risque spécifique par rapport au risque systématique. Nous développerons notre modèle à la base de Wilson (1997a, b), de sorte à capter la composante spécifique par des variables idiosyncratiques des prèts et des individus eux-mèmes. D'autre part, la composante systématique est captée par des facteurs macroéconomiques pertinents. Pour ce faire, nous ferons appel aux fonctions de survie de Cox (1975) et Shumway (2001). Nous explorerons également l'initiative fondatrice de Gouréroux et al. (2006) pour modéliser le taux de recouvrement. Des simulations Monte Carlo nous permettront d'évaluer les prédictions des pertes, aussi bien dans le cas de l'exploitation normale de notre institution financière qu'en cas de crises économiques hypothétiques. Notre échantillon provient d'une banque canadienne de la place.
Download or read book Stress Testing Credit Risk written by Antonella Foglia and published by . This book was released on 2009* with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stress Testing Credit Risk written by Antonella Foglia and published by . This book was released on 2015-02-16 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Download or read book A New Heuristic Measure of Fragility and Tail Risks written by Mr.Nassim N. Taleb and published by International Monetary Fund. This book was released on 2012-08-01 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be misleading in the presence of model error and the uncertainty attending parameters and their estimation. The heuristic can be seen as a second order stress test to detect nonlinearities in the tails that can lead to fragility, i.e., provide additional information on the robustness of stress tests. It also shows how the measure can be used to assess the robustness of public debt forecasts, an important issue in many countries. The heuristic measure outlined here can be used in a variety of situations to ascertain an ordinal ranking of fragility to tail risks.
Download or read book Portfolio Credit Risk and Macroeconomic Shocks written by Miguel A. Segoviano Basurto and published by International Monetary Fund. This book was released on 2006-12 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD) methodology and the consistent information multivariate density optimizing (CIMDO) methodology. CoPoD incorporates the effects of macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only partial information about borrowers is available. Implementation is straightforward and can be very useful in stress testing exercises (STEs), as illustrated by the STE carried out within the Danish Financial Sector Assessment Program.
Download or read book Model and Estimation Risk in Credit Risk Stress Tests written by Peter Grundke and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model using US data ranging from 2004 to 2016. We show that seemingly only slightly differing specifications can lead to entirely different stress test results - in relative and absolute terms. That said, our findings reveal that the conversion of a shock (i.e., stress event) increases the (non-stress) default probability by 20% to 80% - depending on the stress test model selected. Interestingly, forecasts for non-stress default probabilities are less exposed to model and estimation risk. In addition, the risk horizon over which the stress default probabilities are forecasted and whether we consider mean stress default probabilities or quantiles seem to play only a minor role for the dispersion between the results of the different model specifications. Our findings emphasize the importance of extensive robustness checks for model-based credit risk stress tests.
Download or read book Credit Stress testing written by Monetary Authority of Singapore. Market Infrastructure and Risk Advisory Department. Financial Risk Management Division and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stress Testing on Credit Portfolios written by Sebastian Keim and published by . This book was released on 2010 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stress Testing of Real Credit Portfolios written by Ferdinand Mager and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A systematic approach to multi period stress testing of portfolio credit risk written by Thomas Breuer and published by . This book was released on 2010 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Sensitivity of Credit Risk Stress Test Results written by Patrick van Roy and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Role of Stress Testing in Credit Risk Management written by Roger Stein and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we outline some concepts relating to the use of stress testing in credit risk management. We begin by providing a simple taxonomy of stress scenarios and discussing the trade-offs that different approaches require for implementation. Our taxonomy is modeled after one that is common in the credit literature and involves con-cepts related to reduced-form and structural approaches to credit modeling. Recently, some have expressed the view that the use of distribution-based measures such as VaR and expected shortfall (ES) for credit risk management should be deemphasized in favor of stress-testing and scenario analysis. We consider this question in the main portion of this article. We discuss the benefits of stress testing and scenario analysis as well as describing some limitations of using scenario-based approaches as a sole mechanism for assessing portfolio risk. We provide a number of examples to illustrate these limitations. In particular, except in special cases, it is difficult to use stress scenarios alone, ex ante, for allocating capital across disparate portfolios. However, stress testing and scenario analysis are integral to prudent credit risk management and can complement measures such as VaR and ES, thereby better informing both risk assessment and business strategy development. While neither stress testing nor VaR type measures, in and of themselves, provide complete descriptions of credit portfolio risk, combining both approaches results in more robust risk analysis. This permits risk managers to integrate quantitative measures with managerial intuition and judgment to arrive at more comprehensive assessments of both portfolio risk and overall firm strategy.
Download or read book A Systematic Approach to Multi period Stress Testing of Portfolio Credit Risk written by and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Application of Credit Risk Models to Macroeconomic Regulatory Stress Testing written by Jimmy Skoglund and published by . This book was released on 2015 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: The application of credit risk models in Comprehensive Capital Analysis and Review and European Banking Authority mandated regulatory macroeconomic stress testing is of significant concern for banks. The credit models that are used to project stressed losses and impairments under macroeconomic scenarios are also instrumental in projecting interest income and accrual as well as the balances that go into projected risk weighted assets. In this paper we review both the significant role that the credit risk models play in the macroeconomic stress testing as well as demonstrating how different credit risk models can be efficiently implemented for stress testing execution with concrete application examples. Many of the credit risk models banks use in practice can be efficiently implemented through a very simple conditional Markov iteration. Examples include multi-factor models derived from the Merton structural approach and dynamic transition matrix models that depend on economic factors and are traditionally estimated on cohorts of loans. We also analyze the efficient implementation of more complex dynamic transition matrix models with the added feature of delinquency history tracking. Such models are frequently used for retail portfolios and can introduce significant past state dependence. Traditionally, such models are therefore deployed in stress testing using simulation of state transitions. However, in some important cases, such as quarterly models and monthly models with delinquency state indicator functions, the models can be solved more efficiently with an expanded conditional Markov iteration.
Download or read book Risque de cr dit written by Ying Jiao and published by . This book was released on 2006 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Le risque de cr dit written by Najah Attig and published by . This book was released on 1999 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mod lisation et estimation du risque de cr dit written by Tommy Thomassin and published by . This book was released on 2012 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
