Stress Testing Banks
About the Lecture
The lecture Stress Testing Banks by Edu Pristine is from the course Archiv - Operational Risk. It contains the following chapters:
- Features and Scope of Stress tests
- Problem of Coherence in modelling Risk factors
- Challenges in Mapping from Broader Macroeconomic Factors to Specific Intermediate Risk Factors in Modelling Losses
- Challenges in Modelling a Bank´s Balance Sheet over a Stress Test Horizon Period
- SCAP Stress Test, CCAR, and the 2011 EBA Irish and EBA European Stress Tests
Author of lecture Stress Testing Banks
Edu Pristine
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Excerpts from the accompanying material
... after the Supervisory Capital Assessment Program (SCAP) Pre -SCAP Post-SCAP Mostly single shock Broad macro scenario and ...
... appreciate. Problem of coherence is especially acute when considering stress scenarios for market risk, i.e. for portfolios of traded securities and derivatives. These portfolios are typically marked to market. Practically this means that the hundreds of thousands (or more) positions ...
... Intermediate Risk Factors in Modelling Losses For a firm which is active in many markets, the first task is ...
... Considering the nature and amount of new assets originated and/or sold during the quarter. Any other capital depleting or conserving actions such as acquisitions or ...
... Tests 5 Base and Stress Scenario Bank Level Result Asset/Product Level Loss Rates Exposure Details Bank vs. Supervisory or third party estimates SCAP March 2009 Stress ...
