压力测试实务(35p)+家计单位的债务压力测试+如何将总体经济因子导入压力测试

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1. Defining “Stress Testing” in a Credit Portfolio Context
2. Purpose and Uses of Credit Portfolio Stress Testing
3. Issues and Challenges in Designing Stress Tests
4. Some Practical Recommendations

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关键词：压力测试 Challenges Portfolio Designing Practical 实务 压力

those're pretty good,thanks for sharing

Model Stress Testing

To a credit portfolio model builder and user, “stress testing”
may mean subjecting the model’s inputs to extreme values
on a standalone basis and in combination, in order to
determine limitations in the predictive capabilities of the
model

E.g.:

Concentrating all exposures into the same systematic
risk factor (e.g., the same country and industry)

Replacing empirical correlations with near-perfect
correlations

Usage and Integration in Risk Governance
• Problems:
– Insufficient ability to identify correlated tail exposures and risk
concentration across the bank.
• Solutions:
– Start with risk exposures (including market, credit, operational and
liquidity risks) of individual business lines and market factors that
drive them;
– Perform simulation and stress testing of full collection of risk factors
across asset classes and business lines;
– Construct the integrated distribution of risks thus capturing
correlated tail exposures and risk concentrations across the balance
sheet.

金融海啸后的监理趋势
•扩大金融监理范围，将避险基金、私募基金、保险、信评机构、金融商品、及金融市场
  -公开化、透明化、课责性(由高层主管开始)
  -集中结算衍生性商品交易
–保护投资人
•强化资本适足性,阻止过度财务杠杆-Stress Test ，动态资本适足率调整。

多谢了 赞一个 …………

全英文？
我还是绕道吧……

谢谢， 顶

请问有没有credit risk分析实务？

1。定义“压力测试在信贷组合”语境
2。信贷组合的目的和用途的应力测试
3。设计中的问题和挑战应力测试
4。一些切实可行的建议
你就不能合成一个包吗？