文章基本信息

标题：Modelling Scenario Analysis and Macro Stress-testing
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作者：Jan Willem van den End ; Marco Hoeberichts en Mostafa Tabbae
期刊名称：DNB Working Papers / De Nederlandsche Bank
出版年度：2006
卷号：1
出版社：De Nederlandsche Bank
摘要：Macro stress-testing has become an important tool to assess financial stability. This paper describes a tool kit for scenario analysis and macro stress-testing. It is based on a model which maps multivariate scenarios to banks’ credit and interest rate risks by deterministic and stochastic simulations. Our approach is an extension of existing macro stress-testing models as it distinguishes between probability of default on the one hand and loss given default on the other and allows for separate models for domestic and foreign portfolios. Another contribution of the paper is that the stochastic simulations generate loss distributions which provide insight in the extreme losses and allow for changing correlations between risk factors in stress situations. The methodology is applied to the Dutch banking sector.
关键词：banking, financial stability, stress-tests, credit risk, interest rate risk JEL Codes: C33, E44, G21