Stress Testing Engineering: the real risk measurement?
AbstractStress testing is used to determine the stability or the resilience of a given financial institution by deliberately submitting. In this paper, we focus on what may lead a bank to fail and how its resilience can be measured. Two families of triggers are analysed: the first stands in the stands in the impact of external (and / or extreme) events, the second one stands on the impacts of the choice of inadequate models for predictions or risks measurement; more precisely on models becoming inadequate with time because of not being sufficiently flexible to adapt themselves to dynamical changes.
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Date of creation: Feb 2014
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Stress test; risk; VaR;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-BAN-2014-03-08 (Banking)
- NEP-CBA-2014-03-08 (Central Banking)
- NEP-RMG-2014-03-08 (Risk Management)
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