HullRMFI2ndEdCh17金融风险管理.pptVIP

Stress Testing Key Questions How do we generate the scenarios? How do we evaluate the scenarios? What do we do with the results? Risk Management and Financial Institutions 2e, Chapter 17, Copyright ? John C. Hull 2009 * Generating the scenarios Stress individual variables Choose particularly days when there were big market movements and stress all variables by the amount they moved on those days Form a stress testing committee of senior management and ask it to generate the scenarios Risk Management and Financial Institutions 2e, Chapter 17, Copyright ? John C. Hull 2009 * Core vs Periphera