Operational Risk Reverse Stress Testing: Optimal Solutions
نویسندگان
چکیده
منابع مشابه
Adequate Capital and Stress Testing for Operational Risks*
INDUSTRY TRENDS AND PRACTICES The banking industry has become increasingly more complex in recent years. Some of the reasons are the growing sophistication of financial products such as collateralised debt obligations (CDOs) and credit derivatives, growing activities of banks across several legal and regulatory systems in course of a general globalisation, growing reliance on globally integrate...
متن کاملOperational Risk Quantification Mathematical Solutions for Analyzing Loss Data
ii " When you can measure what you are speaking about, and express it in numbers, you know something about it; but when you cannot measure it, when you cannot express it in numbers, your knowledge is of a meagre and unsatisfactory kind. "
متن کاملOptimal investment under operational flexibility, risk aversion, and uncertainty
Traditional real options analysis addresses the problem of investment under uncertainty assuming a risk-neutral decision maker and complete markets. In reality, however, decision makers are often risk averse and markets are incomplete. We confirm that risk aversion lowers the probability of investment and demonstrate how this effect can be mitigated by incorporating operational flexibility in t...
متن کاملA Stress Testing Framework for Liquidity Risk
One of the most important lessons learned from the recent financial crisis is that liquidity risk is fundamentally different from other forms of risk such as market risk and credit risk. Liquidity risk, viewed earlier as a second order risk, is now considered a major risk class. The crisis showed us how quickly a risk which starts as a market or credit risk transforms into a liquidity event and...
متن کاملSolutions to specification errors in stress testing models
The regulatory and business need to expand the use of macroeconomicscenario-based forecasting and stress testing in retail lending has led to a rapid expansion in the types and complexity of models being applied. As these models become more sophisticated and include lifecycle, credit quality, and macroeconomic effects, model specification errors become a common, but rarely identified feature of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical and Computational Applications
سال: 2021
ISSN: 2297-8747
DOI: 10.3390/mca26020038