波士顿：RISK MANAGEMENT Stress Testing.pdf

The Boston Consulting Group
RISK MANAGEMENT
Stress Testing
Christian Rosen, Carsten Gerhardt, Franz J. Herrlein,
Thomas Gross
Frankfurt am Main, July 2000
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ABSTRACT
This deck describes the importance of Stress testing in the context of Risk
Management
Based on the overall purposes of Risk Management it is shown that the traditional
risk measuring methods are not sufficient and have to be extended
Examples how to develop stress testing scenarios for market, credit and
operational risk are provided
The deck also contains a short overview on relevant software providers
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AGENDA
Introduction and definitions
Stress testing as extension of the traditional VaR approach
Integration of stress testing into the overall risk management concept
Development of stress testing scenarios – examples
• Market risk
• Credit risk
• Operational risk
Software Providers
Summary
12132-00-STRESSTEST-17Apr00-CR-aks-HAM/2Stresstest -2-
AGENDA
Introduction and definitions
Stress testing as extension of the traditional VaR approach
Integration of stress testing into the overall risk management concept
Development of stress testing scenarios – examples
• Market risk
• Credit risk
• Operational risk
Software Providers
Summary
12132-00-STRESSTEST-17Apr00-CR-aks-HAM/3Stresstest -3-
RISK MANAGEMENT SERVES TWO MAIN PURPOSES
Risk-return-Risk-return- RiskR