Dear Debashis.

 

I am noot specifically referring to capital stress testing, but stress testing of any portfolio for any underlying factors. I know about standard market risk stress test (yield curve shifts, delta changes in prices, etc.) but I was wondering if there is more than that, particularly including liquidity and credit risk exposure. 

 

Many thanks


Dario

 

 

 

+++++++++++++++++++++++++ 
Dario Nicodemi 

próxima - Próxima Alfa Investments SGIIC, S.A. 
Paseo de la Castellana, 15 1º B 
28046 Madrid - Spain 
Phone: (+34) 917 900 569 

E-Mail: Dario.Nicodemi@proximaalfa.com <mailto:Dario.Nicodemi@proximaalfa.com>  

 

________________________________

From: Debashis Dutta [mailto:dutt.debashis@gmail.com] 
Sent: viernes, 11 de julio de 2008 20:18
To: Dario Nicodemi
Cc: r-sig-finance@stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Stress Testing



Dear Daria,



Pls let me know which sress testing you are referring to? Is this (1) the stress testing  for Internal Model Approach of Pillar 1 of  Basel II , or (2) Stress testing for additional buffer risk capital requirement under Pillar 2 of Basel II.



Whereas the first stress testing relates to testing the adequacy of  VaR-based risk capital   generating different stressed scenerio changing correlation and others , the second one aims at finding what is the addition risk capital requirement (in addition to pillar I regulatory risk capital) for unexpected losses under stressed scenerios  where its reates to the balance sheet.



After you let me which stress testing you  rrefer here, then I can provide you resources.



Kind Regards,

Debashis



On 11/07/2008, Dario Nicodemi <dario.nicodemi@proximaalfa.com> wrote: 

Dear All,

First of all, apologies if this is not the write place to post this
request. I was looking for some material related to Stress Testing
(packages, books, articles).

Any suggestions will be appreciated.

Kind regards

Dario






       [[alternative HTML version deleted]]

_______________________________________________
R-SIG-Finance@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only.
-- If you want to post, subscribe first.




	[[alternative HTML version deleted]]

