TAILIEUCHUNG - Stress testing and a comparison of alternative methodologies for scenario generation

A critical question that banking supervisors are trying to answer is what is the amount of capital or liquidity resources required by an institution in order to support the risks taken in the course of business. The financial crises of the last several years have revealed that traditional approaches such as regulatory capital ratios to be inadequate, giving rise to supervisory stress testing as a primary tool. A critical input into this process are macroeconomic scenarios that are provided by the prudential supervisors to institutions for exercises such as the Federal Reserve’s Comprehensive Capital Analysis and Review (“CCAR”) program. Additionally, supervisors are requiring that banks develop their own macroeconomic scenarios. A common approach is to combine management judgment with a statistical model, such as a Vector Autoregression (“VAR”), to exploit the dependency structure between both macroeconomic drivers, as well between modeling segments. However, it is well-known that linear models such as VAR are unable to explain the phenomenon of fat-tailed distributions that deviate from normality, an empirical fact that has been well documented in the empirical finance literature. | Stress testing and a comparison of alternative methodologies for scenario generation

• Ngân hàng - Tín dụng
• Stress testing
• Credit risk
• Financial crisis
• Model risk
• Vector autoregression
• Markov switching model
• Scenario generation
• Probability of default
• PD calibration
• Low default portfolios
• PD calibration and stress testing
• Nondestructive testing of residual stress
• The welded part of butt welded A36 plates
• Electronic speckle pattern interferometry
• Testing and Materials
• Tensile specimen including welded part
• BMC Musculoskeletal Disorders
• Mechanical ankle instability
• Stress MRI
• Stress sonography
• Physical examination
• Cartilage contact area
• medical research
• therapeutic
• pharmaceutical
• Prognostic Significance
• Dyspnea
• Patients Referred
• Cardiac Stress Testing
• symptoms
• biochemical
• Economics and business
• Nonperforming loans
• Capital adequacy
• Vector autoregressive model
• Commercial banks credit risk
• Luận văn Thạc sĩ
• Tài chính ngân hàng
• Luận văn Thạc sĩ Kinh tế
• Kinh tế vĩ mô
• Mô hình Stress Testing
• Tỷ lệ nợ xấu
• Ứng dụng Stress Testing
• Ngân hàng thương mại
• Rủi ro tín dụng
• Cú số tài chính
• Phương pháp stress testing
• Đo lường rủi ro tín dụng
• Rock masses
• Understanding stress
• In situ rock stress
• Strain and the theory of elasticity
• Permeability
• Testing techniques
• Chlorophyll
• Abiotic Stress
• Salinity Stress
• Salt Tolerance
• Harvested Fruits
• Fruits and Vegetables
• Dynamic mechanical analysis
• Mechanical analysis
• A practical introduction
• Basic rheological concepts stress
• Stress relaxation
• Dynamic testing
• Rheology Basics
• Creep–Recovery
• TEMPERATURE SCANNING
• Frequency Scans
• Towards Understanding
• Metal Stress
• Plant N Fluxes
• Fluxes and Modulation
• Legumes and Non
• Legume Plants
• including existing
• pharmaceutical policies
• market situations
• Epigenetic Chromatin
• Regulators as Mediators
• Tarascon pocket cardiology
• Diagnostics and evaluation
• ECG exercise stress testing
• Cardiac imaging
• Cardiac catheterization and angiography
• MGH cardiology broad review
• History and physical examination
• Acute coronary syndrome
• Chronic coronary artery disease
• Exercise stress testing
• Diseases of the aorta
• The subject of rock mechanics
• Content of this book
• Geological setting
• Natural rock environments
• Stress as a point property
• Normal strength
• Shear stress
• Asphalt concrete
• Fatigue stresses
• Mohr Coulomb failure criterion
• Tóm tắt luận án Tiến sĩ
• Tóm tắt luận án Tiến sĩ Kinh tế
• Quản trị rủi ro tín dụng
• Kiểm tra sức chịu đựng
• Ngân hàng TMCP công thương
• Luận án Tiến sĩ
• Luận án Tiến sĩ Kinh tế
• Quản trị rủi ro
• Kiểm định sức chịu đựng
• Vaginal Wall Prolapse
• Surgical Complications
• Synthetic Materials
• Treatment
• Post Prostatic
• Surgery Stress
• Virtual Reality
• Learning aptitude
• Spatial orientation
• Cognitive flexibility
• Neuropsychological testing
• Child care services
• Social skill training
• Social development
• Cluster randomized control trial
• Children’s social behaviors