pr95压力测试软件,波士顿咨询——压力测试介绍StressTesting.ppt-优快云博客

这篇演示文稿探讨了压力测试在风险管理中的重要性，指出传统的风险衡量方法如VaR（Value at Risk）的不足，并提出需要扩展。内容涵盖了市场风险、信用风险和操作风险的压力测试场景构建，并简要介绍了相关软件供应商。压力测试不仅补充了传统风险评估，还通过考虑极端事件增强了信心水平，并影响风险限额设定，因此应成为银行风险测量过程的组成部分。

摘要生成于 C知道，由 DeepSeek-R1 满血版支持，前往体验 >

波士顿咨询——压力测试介绍StressTesting.ppt

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 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 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 RISK MANAGEMENT SERVES TWO MAIN PURPOSES THEREFORE RISK MANAGEMENT REQUIRES COVERAGE OF SYSTEMATIC AND NON-SYSTEMATIC RISK-EXPOSURE (I) 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 STRESS TESTING HAS TO BE COMBINED WITH THETRADITIONAL CALCULATION WORST CASE EVENTS ARE NOT EXTREMELY RARE DATA FROM STRESS TESTS CAN ENHANCE CONFIDENCE LEVELS Confidence Level of VaR Calculation Depends on Database STRESS TESTING HAS IMPACT ON THE CALCULATION OF RISK THE ASPECT OF BANK PROTECTION IS COVERED WITH LIMIT SETTING MOTIVATED FROM WORST CASE SCENARIOS HENCE, STRESS TESTING SHOULD BE AN INTEGRAL PART OF A BANK'S RISK MEASUREMENT PROCESS AGENDA Introduction and definitions Stress testing as extension of the traditional VaR approach Integration of str