A Framework for Market, Credit and Transfer Risk Aggregation and Stress Testing

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2014-05-08 DOI:10.2139/ssrn.2060855

Simone Farinelli

引用次数: 0

Abstract

A framework which consistently and fully integrates market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup is developed. An appropriate definition of exposure, loss-given-defaults and loss-given-transfer-events provides a unified treatment of these three risk types. Implementable algorithms are presented as well as a comparison with the industry standards and best practices. The framework discussed is generic and does not explicitly depend on the choice of the scenario generator. Generic and macroeconomical stress tests is directly obtained by selecting the paths for which the relevant risk factors are constrained by a priori given bounds.

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市场、信用和转移风险汇总和压力测试框架

制定了一个框架，在多时期设置中一贯和充分地整合一般金融资产组合的市场、信贷和国家转移风险。敞口、损失违约和损失转移事件的适当定义提供了对这三种风险类型的统一处理。提出了可实现的算法，并与行业标准和最佳实践进行了比较。所讨论的框架是通用的，并不显式地依赖于场景生成器的选择。一般和宏观经济压力测试是通过选择相关风险因素受先验给定界限约束的路径直接获得的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.