Report
Quantitative Reverse Stress Testing, Bottom Up
| العنوان: | Quantitative Reverse Stress Testing, Bottom Up |
|---|---|
| المؤلفون: | Albanese, Claudio, Crépey, Stéphane, Iabichino, Stefano |
| المساهمون: | UFR Mathématiques Sciences - Université Paris Cité (UFR Mathématiques UPCité), Université Paris Cité (UPCité) |
| المصدر: | https://hal.science/hal-03910136 ; 2022. |
| بيانات النشر: | HAL CCSD |
| سنة النشر: | 2022 |
| مصطلحات موضوعية: | quantitative reverse stress testing cost of capital (KVA) model validation model risk trading limits PFE JEL Classification: D81 G13 G28 G32 Mathematics Subject Classification: 91B30 91G20 91G30 91G40, quantitative reverse stress testing, cost of capital (KVA), model validation, model risk, trading limits, PFE, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM] |
| الوصف: | We propose a bottom-up quantitative reverse stress testing framework that identifies forward-looking fragilities tailored to a bank's portfolio, credit and funding strategies, models, and calibration constraints. Thus, instead of relying on historical events, we run a Monte Carlo simulation, and we mine those future states that contribute the most to a bank's cost of capital expressed in terms of scenario differential. We find that such an approach allows identifying both the systemic and idiosyncratic weaknesses of the bank's portfolio, with applications that include solvency risk, extreme events hedging, liquidity risk management, trading and credit limits, model validation and model risk management. |
| نوع الوثيقة: | report |
| اللغة: | English |
| Relation: | hal-03910136; https://hal.science/hal-03910136; https://hal.science/hal-03910136/document; https://hal.science/hal-03910136/file/RST.pdf |
| الاتاحة: | https://hal.science/hal-03910136 https://hal.science/hal-03910136/document https://hal.science/hal-03910136/file/RST.pdf |
| Rights: | info:eu-repo/semantics/OpenAccess |
| رقم الانضمام: | edsbas.57B37225 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |