1/9/2024 0 Comments Cpu stress test 2018![]() doi: 10.1016/S0378-4266(01)00229-1īank for International Settlements, Basel Committee on Banking Supervision (BCBS) (1988) Internal convergence of capital measurement and capital standards: A revised framework.īasel Committee on Banking Supervision (BCBS) (1996) Amendment to the capital accord to incorporate market risks.īasel Committee on Banking Supervision (BCBS) (2006) International convergence of capital measurement and capital standards: A revised framework.īasel Committee on Banking Supervision (BCBS) (2009a) Principles for sound stress testing practices and supervision.īasel Committee on Banking Supervision (BCBS) (2009b) Guidelines for computing capital for incremental risk in the trading book.īasel Committee on Banking Supervision (BCBS) (2009c) Revisions to the Basel II market risk framework.īasel Committee on Banking Supervision (BCBS) (2009d) Analysis of the trading book quantitative impact study (October).īasel Committee on Banking Supervision (BCBS) (2010a) Strengthening the resilience of the banking sector-consultative document (December).īasel Committee on Banking Supervision (BCBS) (2010b) An assessment of the long-term economic impact of stronger capital and liquidity requirements (August).īasel Committee on Banking Supervision (BCBS) (2010c) Basel III: A global regulatory framework for more resilient banks and banking systems (December).īaum LE, Petrie T (1966) Statistical inference for probabilistic functions of finite state Markov chains. (2002) Ratings migration and the business cycle, with application to credit portfolio stress testing. John Wiley 18: 144–145.īangia A, Diebold FX, Kronimus A, et al. doi: 10.3934/QFE.2018.2.294Īcharya VV, Schnabl P, Richardson M (2010) How Banks Played the Leverage Game. A comparison of methodologies in the stress testing of credit risk – alternative scenario and dependency constructs. Furthermore, we find that the multiple equation VAR model outperforms the single equation autoregressive ("AR") models according to various metrics across all modeling segments.Ĭitation: Michael Jacobs Jr., Frank J. Our finding is that the MS-VAR model performs better than the VAR model, both in terms of producing severe scenarios conservative than the VAR model, as well as showing superior predictive accuracy. We conduct an empirical experiment using data from regulatory filings and Federal Reserve macroeconomic data released by the regulators for mandated stress testing exercises. In this paper we investigate the alternative Markov Switching VAR ("MS-VAR") model, featured more commonly in the academic realm as opposed to being applied in practice. Despite the prevalence of this approach, we know from the previous finance literature that Gaussian VAR models are unable to cope with the empirical fact of deviation from normality. Prevalent among approaches in the industry is the combination of expert opinion and an econometric methodology, for example the Vector Autoregression ("VAR") model that captures the dependency structure among and between macroeconomic explanatory variables and banking loss / income target variables. A critical input into this process is the set of macroeconomic scenarios, either provided by the prudential supervisors, or developed by financial institutions. The experience of this financial downturn has given rise to the conclusion that traditional approaches, such as regulatory or economic capital are inadequate to this end, leading to the prevalence of supervisory stress testing as a primary tool of prudential supervision. ![]() In the aftermath of the financial crisis of the last decade, banking supervisors have sought the solution to the problem of determining the optimal capital levels that an institution should hold, in order to support their risk taking activities.
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