Stress Testing for Risk Control Under Basel II

摘要: PART ONE: STRESS TESTING DEFINED: THE DYNAMICS OF RISK AND ITS MANAGEMENT ANALYSIS USE SCENARIOS CONTRIBUTION MODELS TO WORSE CASE DRILLS BENCHMARKING, BACKTESTING POST-MORTEMS. TWO: EXPECTED UNEXPECTED LOSSES: CREDITCREDITWORTHINESS WRONG WAY STATISTICAL INFERENCE PROBABILITY DEFAULT LOSS GIVEN DEFAULT, EXPOSURE AT LOSSES CORRELATION COEFFICIENTS LOSSES. THREE: TESTING, MARKET DISCIPLINE CONTROL ACTION: ASSOCIATED GLOBAL BANKING SYNERGY BETWEEN ECONOMIC CAPITAL LONG TERM FINANCIAL LIABILITIES BETTER GOVERNANCE, PILLAR 2 3 BASEL II