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The method of constructing models of stress-testing of the trading portfolio of financial organizations

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  • Alimbaev Farkhad

Abstract

The financial crisis gave an impetus to finding “weaknesses” in financial institutions. One such tool is the stress-testing. This method is intended to identify through modeling “hypothetical” or “historical” scenarios, the most losses, in the execution of a script. In the simulation of hypothetical scenarios to find the impact factor, as shock events on the trade portfolio. When using historical scenarios, as the shocks applied developments in the past that have caused catastrophic losses, both in quantitative and qualitative size. For example, such scenarios can be: financial crises of the 90-ies and the current decline in international stock markets, a drop or increase in foreign exchange rates, etc.

Suggested Citation

  • Alimbaev Farkhad, 2009. "The method of constructing models of stress-testing of the trading portfolio of financial organizations," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 21-26, November.
    • Handle: RePEc:cbu:jrnlec:y:2009:v:2:p:21-26
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