Developing a stress testing framework based on market risk models
Developing a stress testing framework based on market risk models
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DOI：
10.1016/j.jbankfin.2007.12.041
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发表时间：
2008-10-01
影响因子：
3.7
通讯作者：
Sheedy, Elizabeth
中科院分区：
文献类型：
--
作者：
Alexander, Carol;Sheedy, Elizabeth
《巴塞尔2雅阁》要求监管资本用于压力测试，但压力测试组合没有一致和客观的框架。我们提出了一种新的方法压力测试的背景下，市场风险模型，可以将波动率聚类和重尾。实证结果比较了八个风险模型的性能与四个可能的条件和无条件的回报分布在不同的滚动估计期间。当应用于主要货币对，使用超过20年的每日数据，我们发现，压力测试结果应该对目前的外汇监管资本水平的影响很小。(C)2008 Elsevier B.V.保留所有权利。
The Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and objective framework for stress testing portfolios exists. We propose a new methodology for stress testing in the context of market risk models that can incorporate both volatility clustering and heavy tails. Empirical results compare the performance of eight risk models with four possible conditional and unconditional return distributions over different rolling estimation periods. When applied to major currency pairs using daily data spanning more than 20 years we find that stress test results should have little impact on current levels of foreign exchange regulatory capital. (C) 2008 Elsevier B.V. All rights reserved.