scholarly journals Validation of default probability models: A stress testing approach

2016 ◽  
Vol 47 ◽  
pp. 70-85 ◽  
Author(s):  
Fábio Yasuhiro Tsukahara ◽  
Herbert Kimura ◽  
Vinicius Amorim Sobreiro ◽  
Juan Carlos Arismendi Zambrano
Keyword(s):  
Stress Testing ◽  
Default Probability ◽  
Probability Models ◽  
Testing Approach

scholarly journals A Globally Consistent Stress Testing Approach

2019 ◽  
Vol 4 (3) ◽  
pp. p153
Author(s):  
Colin Ellis
Keyword(s):  
Stress Testing ◽  
Expected Shortfall ◽  
Data Availability ◽  
Rank Ordering ◽  
Testing Approach ◽  
Bank Solvency ◽  
High Level ◽  
Loan Losses ◽  
Compare And Contrast ◽  
Expected Outcomes

This paper describes an approach for stress testing banks that is consistent across economies and geographies, in contrast to common “macro scenario” driven approaches. The latter would require economic scenarios to be both equally likely (in a probabilistic sense) and equally stressful (in a conditional loss sense) across countries in order to be comparable. The paper proposes a three-pronged approach for stressing bank solvency, which incorporates recalibrating pre-crisis Basel capital assumptions, adapting the BIS “expected shortfall” approach for securities, and using granular data for income haircuts. Loan losses are quantified using a simple “multiples” approach, starting from expected outcomes, which is derived from the pre-crisis Basel technical proposal. The approach is practical, can be more granular or conducted at a high level, depending on data availability, and offers a simple way for regulators, investors or risk assessors to compare and contrast stresses in different banking systems. Of the eight bank defaults recorded globally during 2017, this approach would have given a better “rank ordering” for seven of them, indicating the approach adds value to traditional solvency metrics.

scholarly journals The NBU Approach to Stress Testing the Ukrainian Banking System

2015 ◽  
pp. 39-51 ◽  
Author(s):  
Yuliia Diuba ◽  
Hanna Murina
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Banking System ◽  
Economic Downturns ◽  
The World ◽  
National Bank ◽  
Key Features ◽  
Testing Approach ◽  
Further Development ◽  
The International Monetary Fund

This paper gives a review of the stress testing methodology developed by the National Bank of Ukraine (NBU) in cooperation with the International Monetary Fund (IMF) for assessing the robustness of the Ukrainian banking sector, following one of the largest economic downturns in Ukrainian history. It starts with a brief summary of stress testing approaches and methods used throughout the world, their classifications, and key features. It then moves on to give an overview of the stress testing approach applied by the NBU, concluding with remarks as to the specificity of this approach and avenues for further development.

scholarly journals Comparison of Default Probability Models: Russian Experience

2012 ◽  
Author(s):  
Alexander Karminsky M. Karminsky ◽  
Alexander Kostrov ◽  
Taras Murzenkov
Keyword(s):  
Default Probability ◽  
Probability Models

Robust Risk Estimation and Hedging:A Reverse Stress Testing Approach

2015 ◽  
pp. 150514062927006
Author(s):  
Yaacov Kopeliovich ◽  
Arcady Novosyolov ◽  
Daniel Satchkov ◽  
Barry Schachter
Keyword(s):  
Stress Testing ◽  
Risk Estimation ◽  
Testing Approach
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