Enterprise Risk Management Slides

Stress testing / Liquidity and funding risk [19]

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Bullet points include: Attempts to relate performance of firm’s portfolio to macro-economic developments Can be thought of as the stress test equivalent of econometric VaR risk modelling Can thus be integrated with VaR analysis of the same portfolio Could answer questions such as: what might happen to my credit portfolio if there is a recession of a given severity?

Bullet points include: Attempts to relate performance of firm’s portfolio to macro-economic developments Can be thought of as the stress test equivalent of econometric VaR risk modelling Can thus be integrated with VaR analysis of the same portfolio Could answer questions such as: what might happen to my credit portfolio if there is a recession of a given severity?

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