Integrating stress-testing frameworks

Roesch, D; Scheule, H

Integrating stress-testing frameworks

Roesch, D Scheule, H

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Publisher:: Risk Books
Publication Type:: Chapter
Citation:: Stress testing for financial institutions: Applications, regulations and techniques, 2008, 1st, pp. 3 - 15
Issue Date:: 2008-01

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Field	Value	Language
dc.contributor.author	Roesch, D	en_US
dc.contributor.author	Scheule, H https://orcid.org/0000-0001-7283-5654	en_US
dc.contributor.editor	Roesch, D	en_US
dc.contributor.editor	Scheule, H https://orcid.org/0000-0001-7283-5654	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	Stress testing for financial institutions: Applications, regulations and techniques, 2008, 1st, pp. 3 - 15	en_US
dc.identifier.isbn	978-1-906348-11-3	en_US
dc.identifier.uri	http://hdl.handle.net/10453/29932
dc.description.abstract	Bank regulators (compare Basel Committee on Banking Supervision 2006) expect financial institutions to provide sufficient Tier I and Tier II capital to cover future worst-case credit portfolio losses. These worst-case losses are based on conservative assumptions for a set of parameters such as the probability of default (PD), asset correlation, loss given default (LGD) or exposure at default (EAD) Stress of PD: probability of default is based on a one factor, non-linear model where the factor equals the 99.9th percentile of a systematic standard normally distributed variable and the sensitivity is based on the so-called asset correlation . Stress of EAD and LGD: EAD and LGD are modelled based on economic downturn conditions.	en_US
dc.publisher	Risk Books	en_US
dc.relation.ispartof	Stress testing for financial institutions: Applications, regulations and techniques	en_US
dc.title	Integrating stress-testing frameworks	en_US
dc.type	Chapter
utslib.location	London, UK	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.citation.edition	1st	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.edition	1st	en_US
pubs.place-of-publication	London, UK	en_US

Abstract:

Bank regulators (compare Basel Committee on Banking Supervision 2006) expect financial institutions to provide sufficient Tier I and Tier II capital to cover future worst-case credit portfolio losses. These worst-case losses are based on conservative assumptions for a set of parameters such as the probability of default (PD), asset correlation, loss given default (LGD) or exposure at default (EAD) Stress of PD: probability of default is based on a one factor, non-linear model where the factor equals the 99.9th percentile of a systematic standard normally distributed variable and the sensitivity is based on the so-called asset correlation . Stress of EAD and LGD: EAD and LGD are modelled based on economic downturn conditions.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/29932