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新加坡金融管理局关于信用压力测试的技术文档，有一定的参考价值！
CONTENTS
SECTION A: WHAT & WHY................................ ................................ .....................1
1 INTRODUCTION...................................................................................................1
1.1 Two-pronged approach to Credit Risk management ................................2
1.2 What is Stress-testing ....................................................................................3
1.3 Features of Previous Stress Events................................ .............................3
1.4 Relevance of Stress-tests to Emerging Markets........................................4
1.5 Why Publish a Technical Paper on Credit Stress-testing.........................6
SECTION B: HOW................................ ................................ ................................ .....8
2 ELEMENTS OF A GOOD CREDIT STRESS-TESTING PROGRAMME .....................8
2.1 Large Moves ....................................................................................................8
2.2 Related to Portfolio and Economic environment ........................................8
2.3 Includes all Relevant Risk Factors ...............................................................8
2.4 Top management Buy -in / Plausibility ................................ .........................9
2.5 Report few Stress-Test Results ....................................................................9
2.6 Remedial Measures/ Granularity..................................................................9
2.7 Update Stress -Tests Regularly................................ ................................ .....9
2.8 Documented Policy................................ ................................ .......................10
3 CREDIT STRESS-TESTING FOR THE LOAN BOOK - TOOLS..............................11
3.1 Obligor Rating System.................................................................................11
3.2 Credit Portfolio Risk Management System (CPRMS) .............................12
4 CONSTRUCTING A STRESS-TESTING PROGRAMME.........................................14
4.1 Ensure Reliable Data....................................................................................15
4.2 Survey Portfolio/Environment; Identify important Risk Factors .............16
4.3 Construct Stress -Tests.................................................................................25
4.4 Decide Magnitude of factor shock ..............................................................30
4.5 Run Stress-tests ............................................................................................30
4.6 Report Results................................ ................................ ...............................31
4.7 Reassess Relevance of Stress-Tests ........................................................31
SECTION C: APPLICATIONS & CONCLUSIONS.............................................32
5 APPLICATIONS..................................................................................................32
5.1 Identifying Risk Concentrations ..................................................................32
5.2 Restructuring Positions / Hedging..............................................................32
5.3 Monitoring Stress Loss against Limits ................................ .......................32
5.4 Spurring Discussion......................................................................................32
6 CONCLUSIONS..................................................................................................34
SECTION D: APPENDICES................................ ................................ ...................35
7 TECHNICAL ANNEXURE....................................................................................35
7.1 Correlation Matrix..........................................................................................35
7.2 Monte Carlo Simulations..............................................................................35
7.3 Extreme Value Theory ..................................................................................36
8 GLOSSARY................................ ................................ ................................ .......37
9 LIST OF ABBREVIATIONS..................................................................................38
10 REFERENCES................................ ................................ ................................ ...39
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