+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»

JOURNALS

  

FOR AUTHORS

  

SUBSCRIBE

    
Finance and Credit
 

Stress-testing of market risks by financial organization in the conditions of crisis

Vol. 16, Iss. 17, MAY 2010

Available online: 7 May 2010

Subject Heading: Risk management

JEL Classification: 

Solovyev S.S. graduate student of economic analysis, statistics and finance department, Kuban State University
ssolovjov@yahoo.com

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

View all articles of issue

 

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 30, Iss. 3
March 2024

Archive