欢迎来到天天文库
浏览记录
ID:34564814
大小:701.29 KB
页数:39页
时间:2019-03-08
《宏观压力测试方法的分析比较及应用》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、JournalofFinancialStability2(2006)113151Acomparativeanalysisofmacrostress-testingmethodologieswithapplicationtoFinlandMarcoSorgea,∗,1,KimmoVirolainenbaTheWorldBank,1818HStreetNW,Washington,DC20433,USAbBankofFinland,POBox160,00101Helsinki,FinlandReceived5January2005;receivedinrevisedfo
2、rm19July2005;accepted27July2005Availableonline10November2005AbstractThispaperreviewsthestate-of-the-artofmacrostress-testingmethodologies.Weassesstheprogressmadebothintheeconometricanalysisofbalancesheetindicatorsandinthesimulationofvalue-at-riskmeasurestoassesssystem-widevulnerabilit
3、ies.Toillustratethemainanalyticalapproachesintheliterature,weestimatetwodifferentmodelsforstress-testingpurposesusingdataforFinlandoverthetimeperiodfrom1986to2003.TheFinnishexperienceintheearly1990sappearsparticularlysuitedformacrostress-testingasitincludesasevererecessionwithsignifica
4、ntlyhigher-than-averagedefaultratesandbanksloanlosses.Wehighlightanumberofmethodologicalchallengesthatstillremainconcerninginparticularthecorrelationofmarketandcreditrisksovertimeandacrossinstitutions,thelimitedtimehorizongenerallyusedformacrostress-testingandthepotentialinstabilityof
5、reduced-formparameterestimatesbecauseoffeedbackeffects.©2005ElsevierB.V.Allrightsreserved.JELclassification:G21;G10;E37Keywords:Macrostress-testing;Financialsoundnessindicators;Valueatrisk;Feedbackeffects1.IntroductionStress-testsatthelevelofindividualinstitutionshavebeenwidelyappliedb
6、yinternationallyactivebankssincetheearly1990s.2Theyaregenerallyusedtocomplementfinancialinstitutionsinternalmodels,asrecommendedalsobytheBaselIIcapitaladequacyframework.∗Correspondingauthor.E-mailaddress:msorge@worldbank.org(M.Sorge).1MarcoSorgewasattheBankforInternationalSettlementswh
7、ilewritingthispaper.2SeeCommitteeontheGlobalFinancialSystem(2001)forasurveyofcurrentpractice.1572-3089/$seefrontmatter©2005ElsevierB.V.Allrightsreserved.doi:10.1016/j.jfs.2005.07.002114M.Sorge,K.Virolainen/JournalofFinancialStability2(2006)113–151Fig.1.Overviewofmacrostress-testing.In
8、addit
此文档下载收益归作者所有