Stress scenario generation for solvency and risk management

A new approach for scenario generation in risk management

We provide a new approach to scenario generation for the purpose of risk management in the banking industry. We connect ideas from standard techniques – like historical and Monte Carlo simulation – to a hybrid technique that shares the advantages of standard procedures but reduces several of their drawbacks. Instead of considering the static problem of constructing one or ten day ahead distribu...

Planning-based Scenario Generation for Enterprise Risk Management

Scenario planning is a commonly used method that various organizations use to develop their long term plans. Scenario planning for risk management puts an added emphasis on identifying the extreme yet possible risks that are not usually considered in daily operations. While a variety of methods and tools have been proposed for this purpose, we show that formulating an AI planning problem, and a...

Scenario Planning for Enterprise Risk Management

We present Scenario Planning Advisor (SPA), that takes as input the relevant news and social media trends that characterize the current situation, as well as the domain knowledge and generates multiple plans explaining the observations and projecting future states. The resulting plans are clustered and summarized to generate the scenarios for use in scenario planning for enterprise risk managem...

Scenario generation and stochastic programming models for asset liability management

In this paper we develop and test scenario generation methods for asset liability management models. We propose a multi-stage stochastic programming model for a Dutch pension fund. Both randomly sampled event trees and event trees tting the mean and the covariance of the return distribution are used for generating the coeecients of the stochastic program. In order to investigate the performance...

From Principle-Based Risk Management to Solvency Requirements