压力测试实务.pdfVIP

Credit Portfolio Stress Testing: Beyond the Buzz Words Brian Dvorak Managing Director Moody’s KM brian.dvorak@ 1. Defining “Stress Testing” in a Credit Portfolio Context 2. Purpose and Uses of Credit Portfolio Agenda Stress Testing 3. Issues and Challenges in Designing Stress Tests 4. Some Practical Recommendations Defining “Stress Testing” in a 1 Credit Portfolio Context Defining “Stress Testing” in a Credit Portfolio Context Two very different interpretations: 1. Model stress testing 2. Stress scenario analysis 4 COPYRIGHT © 2008 MOODY’S KMV COMPANY. ALL RIGHTS RESERVED. Model Stress Testing To a credit portfolio model builder and user, “stress testing” may mean subjecting the model’s inputs to extreme values on a standalone basis and in combination, in order to determine limitations in the predictive capabilities of the model E.g.: Concentrating all exposures into the same systematic risk factor (e.g., the same country and industry) Replacing empirical correlations with near-perfect correlations 5 COPYRIGHT © 2008 MOODY’S KMV COMPANY. ALL RIGHTS RESERVED. Stress Scenario Analysis To most credit portfolio risk professionals, senior management and regulators, “stress testing” means analyzing the impact on the portfolio of stress scenarios of shocks to macroeconomic factors or