Quantitative reverse stress testing, bottom up
Quantitative reverse stress testing, bottom up
复制标题
定量反向压力测试，自下而上
DOI：
10.1080/14697688.2023.2187315
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发表时间：
2023
期刊：
影响因子：
--
通讯作者：
Stefano Iabichino
中科院分区：
文献类型：
--
作者：
C. Albanese;Stéphane Crépey;Stefano Iabichino
We propose a bottom-up quantitative reverse stress testing framework that identifies forward-looking fragilities tailored to a bank's portfolio, credit and funding strategies, models, and calibration constraints. Thus, instead of relying on historical events, we run a Monte Carlo simulation, and we mine those future states that contribute the most to a bank's cost of capital expressed in terms of scenario differential. This approach allows identifying both the systemic and idiosyncratic weaknesses of the bank's portfolio, with applications that include solvency risk, extreme events hedging, liquidity risk management, trading and credit limits, model validation and model risk management.
