Representative Yield Curve Shocks and Stress Testing

2008 ◽  
Author(s):  
Christophe Villa ◽  
Christophe Perignon
Keyword(s):  
Stress Testing ◽  
Yield Curve

Representative Yield Curve Shocks and Stress Testing

2008 ◽  
Author(s):  
Francis X. Diebold ◽  
Canlin Li ◽  
Christophe Perignon ◽  
Christophe Villa
Keyword(s):  
Stress Testing ◽  
Yield Curve

scholarly journals Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement

2021 ◽  
Author(s):  
Jens H. E. Christensen ◽  
Jose A. Lopez ◽  
Paul L. Mussche
Keyword(s):  
Financial Risk ◽  
Stress Testing ◽  
Yield Curve ◽  
Interest Rate Risk ◽  
Insurance Companies ◽  
Fixed Income ◽  
Bond Yields ◽  
Simple Tool ◽  
Interest Rate Risk Management

Insurance companies and pension funds have liabilities far into the future and typically well beyond the longest maturity bonds trading in fixed-income markets. Such long-lived liabilities still need to be discounted, and yield curve extrapolations based on the information in observed yields can be used. We use dynamic Nelson-Siegel (DNS) yield curve models to extrapolate risk-free yield curves for Switzerland and several countries. We find slight biases in extrapolated long bond yields of just a few basis points. In addition, the DNS model allows the generation of useful financial risk metrics, such as ranges of possible yield outcomes over projection horizons commonly used for stress-testing purposes. Therefore, we recommend using DNS models as a simple tool for generating extrapolated yields for long-term interest rate risk management. This paper was accepted by Kay Giesecke, finance.

Stress-testing Russian Banking System: Will Banks Need Government Assistance Again?

2010 ◽  
pp. 61-81 ◽  
Author(s):  
O. Solntsev ◽  
A. Pestova ◽  
M. Mamonov
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Stress Test ◽  
Banking System ◽  
Government Assistance ◽  
Methodological Issues ◽  
Loan Portfolio ◽  
Macroeconomic Indicators ◽  
Remote Stress ◽  
Capital Injections

The article analyzes factors that affect growth of the share of non-performing loans in the loan portfolio of Russian banks and proposes approaches for this share forecasting on the basis of dynamics of macroeconomic indicators. It also deals with methodological issues of remote stress-test of lending agencies. Using the results of conducted stress-test of Russian banks the authors assess their perspective capital needs in 2010 and estimate the share of government assistance in capital injections. Furthermore, the authors define the scale of vulnerable banks groups in the Russian banking sector.

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework
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