Stress testing / Liquidity and funding risk [4]

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Bullet points include: VaR-style risk modelling as exercised by most firms proved fallible Emphasises need for greater use of alternative (and hopefully more robust) techniques, such as stress testing Emphasised more by Basel II than Basel I, but even greater focus now FSA CP08/24 requires (UK) firms in many different sectors (banking, insurance, securities) to develop extensive suites of stress tests CEBS CP32 requires same for European banks from 2010 onwards Solvency II ORSA introducing similar requirements

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