Enterprise Risk Management Slides

Economic capital / Other risks [10]

Go to: Summary | Previous | Next
Bullet points include: Full economic scenarios Covering all risks, but not necessarily decomposable by risk Stress tests, e.g. use one or more highly adverse stress tests Factor tables For a particular type of risk and type of business Stochastic models, univariate or multivariate, generally using an ‘economic scenario generator’ Scenario generator can be risk-neutral or real world (or mixture)

Bullet points include: Full economic scenarios Covering all risks, but not necessarily decomposable by risk Stress tests, e.g. use one or more highly adverse stress tests Factor tables For a particular type of risk and type of business Stochastic models, univariate or multivariate, generally using an ‘economic scenario generator’ Scenario generator can be risk-neutral or real world (or mixture)

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile