A formalized, integrated and visual approach to stress testing

作     者：Denev, Alexander Mutnikas, Yaacov 

作者机构：IHS Markit London England 

出 版 物：《RISK MANAGEMENT-JOURNAL OF RISK CRISIS AND DISASTER》 (Risk Manage.)

年 卷 期：2016年第18卷第4期

页      面：189-216页

核心收录：

学科分类：0303[法学-社会学] 0202[经济学-应用经济学] 02[经济学] 

主　　题：stress testing scenario analysis integrated risk management probabilistic graphical models visualization 

摘      要：In this paper, we will give for the first time a formal mathematical language to the steps used currently by financial institutions when calculating the impact of a stress scenario on a balance sheet that depends on more granular or different factors than those provided in the scenario. We will introduce the language of Probabilistic Graphical Models a technique rooted in machine learning to show how the different models used at each step can be put together in a coherent picture, thus giving a holistic view of the entire model setup. This will give us a solid basis to discuss some weaknesses and problems with the stress-testing exercises run by the industry as of today. We will show empirical analyses to substantiate better some of our claims.