Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat LCCN Permalink Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Stress-testing of market risks by financial organization in the conditions of crisis
Available online: 7 May 2010 Subject Heading: Risk management JEL Classification:
This research is devoted to stress-testing of market risks. Such notions as stress-testing, methods, purposes and risk factors, which are used during the stress-testing, are reviewed in the article. The author offers his own methodology of the conducting of the stress-testing of market risks and an analysis of a stress-loss on the basis of a crises in 2008-2009 years has been made as exemplified by a modeling portfolio. A comparative analysis of a cover of market risks by the methodology of a standardized approach to credit risks and of an inner model approach has been also made. A necessity of the conducting of the stress testing as one of the most effective tools of a risk management of a modern financial organization has been substantiated. Keywords: bank risks, market risks, stress-testing, risk factors |
ISSN 2311-8709 (Online)
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