PPT-信用资产组合的压力测试-英文

DefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorStressTestingMacroEconomicScenariosThomasBreuer1MartinSummer21ResearchCentrePPE,Dornbirn,Austria2OesterreichischeNationalbank,Vienna,AustriaCreditRiskSummit2006London,3October2006ThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorOutline1DefiningtheExtentofTests2EnhancingCreditRiskModelswithMacroeconomics3ModellingtheMacroeconomicContext4TheJointDistributionofRiskFactors5EvaluatingLossDistributionsinMacroScenarios6CaseStudy:MacroStressTestingintheSystemicRiskMonitorThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorOutline1DefiningtheExtentofTests2EnhancingCreditRiskModelswithMacroeconomics3ModellingtheMacroeconomicContext4TheJointDistributionofRiskFactors5EvaluatingLossDistributionsinMacroScenarios6CaseStudy:MacroStressTestingintheSystemicRiskMonitorThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorDeterministicandStochasticScenariosDeterministicscenario:Astatesoftheworldatthetimehorizon,asfaritisofrelevancetotheportfoliovalue.“Certainlythestateoftheworldwillbes.”Thevalueofeveryriskfactorisspecified.Stochasticscenario:asetSofstates“TheworldbeinsomestateinthesetS.”Nofurtherprobabilityinformationgiven.ThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorGeneralisedandPartialScenariosAprobabilitydistributionsoverthestatesoftheworldatthetimehorizon,usuallynotthepredictedortruedistribution.“GDPwillgrowby2.5%,allothervariablesaredistributedconditionallyonthis.“Interestrateswillbeupby75bp,allothervariablesdistributeduniformly.ThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorTraditionalStressTestsWhatisit?Currentstateofthemarket:sCMHence,currentportfoliovalue:P(sCM).Performingstresstests:1Selectscenariossstress1,sstress2,...(accordingtosomecriterion)2CalculateportfoliovaluesP(sstress1),P(sstress2),...3ComparethesevalueswithP(sCM).Stresstest=scenarioanalysisThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorTraditionalStressTestsHowtoselectscenariosHowtoselectscenariosStandardscenariosHistoricalscenariosSubjectiveworstcasescenariosThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorDangersofTraditionalStressTestsAnExampleForasampleportfolioofequities:StresstestswithstandardandhistoricalscenariosmaynourishafalseillusionofsafetyScenarioRelativeLossPlausibilityWorstDPG-11%oncein10yrs.BlackFriday-4%oncein19yrs.WorstCase-18%oncein8yrs.ThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorDangersofTraditionalStressTestsAnExampleForasampleportfolioofequities:StresstestswithstandardandhistoricalscenariosmaynourishafalseillusionofsafetyScenarioRelativeLossPlausibilityWorstDPG-11%oncein10yrs.BlackFriday-4%oncein19yrs.WorstCase-18%oncein8yrs.ThomasBreuer,MartinSummerStressTestingMacroEconomicScenariosDefiningtheExtentofTestsEnhancingCreditRiskModelswithMacroeconomicsModellingtheMacroeconomicContextTheJointDistributionofRiskFactorsEvaluatingLossDistributionsinMacroScenariosCaseStudy:MacroStressTestingintheSystemicRiskMonitorDangersofTraditionalStressTestsAnExampleForas