Similar Search Results

Stress testing correlation matrices for risk management

So, Mike K.P.; Wong, Jerry; Asai, Manabu - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 310-322

be more reliable in stress testing higher dimension correlation matrices. Information on the performance of the blocking …Evaluating portfolio risk typically requires that correlation estimates of security returns be made. Historical … testing portfolios, it is important to consider the influence of a sudden surge in selected correlations. Standard correlation …

Persistent link: https://www.econbiz.de/10010730263

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...

Persistent link: https://www.econbiz.de/10005768778

Consistent Quantitative Operational Risk Measurement and Regulation; Challenges of Model Specification, Data Collection, and Loss Reporting

Jobst, Andreas - International Monetary Fund (IMF) - 2007

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...

Persistent link: https://www.econbiz.de/10005826656

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Persistent link: https://www.econbiz.de/10005263920

From Stress to Costress; Stress Testing Interconnected Banking Systems

Maino, Rodolfo; Tintchev, Kalin - International Monetary Fund (IMF) - 2012

This paper presents an integrated framework for assessing systemic risk. The framework models banksâ€™ capital asset ratios as a function of future losses and credit growth using a generalized method of moments to calibrate shocks to credit quality and credit growth. The analysis is...

Persistent link: https://www.econbiz.de/10009654147

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

International Monetary Fund (IMF); International … - 2010

This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic asset allocation (SAA) strategies with regard to the government budget, monetary...

Persistent link: https://www.econbiz.de/10008561093

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Liu, Kexue; Salvati, Jean; Avesani, Renzo G.; … - International Monetary Fund (IMF) - 2006

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model...

Persistent link: https://www.econbiz.de/10005604852

Value at Risk: On the Stability and Forecasting of the Variance-covariance Matrix

Engel, James; Gizycki, Marianne - Reserve Bank of Australia - 1999

the forecasts of the volatility of market rates and the correlations between the various market rates (that is, the …

Persistent link: https://www.econbiz.de/10005426742

SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT

BETTER, MARCO; GLOVER, FRED; KOCHENBERGER, GARY; WANG, HAIBO - In: International Journal of Information Technology & … 07 (2008) 04, pp. 571-587

Simulation optimization is providing solutions to important practical problems previously beyond reach. This paper … explores how new approaches are significantly expanding the power of simulation optimization for managing risk. Recent advances … in simulation optimization technology are leading to new opportunities to solve problems more effectively. Specifically …

Persistent link: https://www.econbiz.de/10004971625

Mean-VaR Portfolio Selection Under Real Constraints

Baixauli-Soler, J.; Alfaro-Cid, Eva; Fernandez-Blanco, … - In: Computational Economics 37 (2011) 2, pp. 113-131

Persistent link: https://www.econbiz.de/10008925914