Stress Testing - Market Risk

obenhuber · May 18th, 2007, 1:35 pm

Dear All,I am looking for some books or papers on the above topic. I would be especially interested in the aspects of "scenario selection".Best regards,Christoph

obenhuber · May 21st, 2007, 8:33 am

Hello,I found some links articles saying the "Derivatives Policy Group ("DPG") did some research on the topic but all the links seem quite old. Does anybody know if this organisation still exists respectively where I can find some info about it.Thx,Christoph

Phil2006 · May 23rd, 2007, 10:44 am

Hi,There are two kinds of stress scenariis :Historical ones : take a look at what happened in the past, like 1929, 1978, 1987, 1999, 2001, etc... even when the market got strongly bull.Hypothetical ones : there you need someone to elaborate these scenariis, look into the web but i don't know any one who produces such thing. Each institution has its own confidential scenariis.But with historical scenariis, you shall have a first good and strong impression of what your stress bull & bear risks are.

obeelde · May 23rd, 2007, 11:44 am

The following website has the DPG paper http://riskinstitute.ch/137790.htm See Chapter IV section III b (subsections a through i)The following paper has some historical scenarios:Wee Lieng-Seng and Judy Lee, Spring 1999, Integrating Stress-testing withRisk Management, Bank Accounting and Finance

obenhuber · May 23rd, 2007, 1:53 pm

Hi,Some useful infos out of a survey by the Committee on the Global Financial System from 2005.Stress testing at major financial institutions: survey results and practice:http://www.bis.org/publ/cgfs24.htm

Phil2006 · June 11th, 2007, 2:12 pm

You can as well find some examples of Stress Tests in Monthly Report Annexes of Funds such as Boussard & Gavaudan.