Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments

Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing...

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Autores principales:	A. M. Karminsky, E. V. Seryakova
Formato:	article
Lenguaje:	EN RU
Publicado:	MGIMO University Press 2015
Materias:	market risk portfolio risk risk-management stress-testing stress-testing models banks copulas value-at-risk International relations JZ2-6530
Acceso en línea:	https://doaj.org/article/561cee721011401faab0dad0d102a743
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spelling	oai:doaj.org-article:561cee721011401faab0dad0d102a7432021-11-23T14:51:00ZMethods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments2071-81602541-909910.24833/2071-8160-2015-4-43-53-63https://doaj.org/article/561cee721011401faab0dad0d102a7432015-08-01T00:00:00Zhttps://www.vestnik.mgimo.ru/jour/article/view/401https://doaj.org/toc/2071-8160https://doaj.org/toc/2541-9099Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress-testing of the portfolio of different financial instruments. These days the topic of the paper is highly acute due to the fact that now stress-testing is becoming an integral part of anticrisis risk-management amid macroeconomic instability and appearance of new risks together with close interest to the problem of risk-aggregation. The paper outlines the notion of stress-testing and gives coverage of goals, functions of stress-tests and main criteria for market risk stress-testing classification. The paper also stresses special aspects of scenario analysis. Novelty of the research is explained by elaborating the programme of aggregated complex multifactor stress-testing of the portfolio risk based on scenario analysis. The paper highlights modern Russian and foreign models of stress-testing both on solo-basis and complex. The paper lays emphasis on the results of stress-testing and revaluations of positions for all three complex models: methodology of the Central Bank of stress-testing portfolio risk, model relying on correlations analysis and copula model. The models of stress-testing on solo-basis are different for each financial instrument. Parametric StressVaR model is applicable to shares and options stress-testing;model based on "Grek" indicators is used for options; for euroobligation regional factor model is used. Finally some theoretical recommendations about managing market risk of the portfolio are given.A. M. KarminskyE. V. SeryakovaMGIMO University Pressarticlemarket riskportfolio riskrisk-managementstress-testingstress-testing modelsbankscopulasvalue-at-riskInternational relationsJZ2-6530ENRUVestnik MGIMO-Universiteta, Vol 0, Iss 4(43), Pp 53-63 (2015)
institution	DOAJ
collection	DOAJ
language	EN RU
topic	market risk portfolio risk risk-management stress-testing stress-testing models banks copulas value-at-risk International relations JZ2-6530
spellingShingle	market risk portfolio risk risk-management stress-testing stress-testing models banks copulas value-at-risk International relations JZ2-6530 A. M. Karminsky E. V. Seryakova Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments
description	Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing belongs to such instruments. The paper reviews and compares the models of market risk stress-testing of the portfolio of different financial instruments. These days the topic of the paper is highly acute due to the fact that now stress-testing is becoming an integral part of anticrisis risk-management amid macroeconomic instability and appearance of new risks together with close interest to the problem of risk-aggregation. The paper outlines the notion of stress-testing and gives coverage of goals, functions of stress-tests and main criteria for market risk stress-testing classification. The paper also stresses special aspects of scenario analysis. Novelty of the research is explained by elaborating the programme of aggregated complex multifactor stress-testing of the portfolio risk based on scenario analysis. The paper highlights modern Russian and foreign models of stress-testing both on solo-basis and complex. The paper lays emphasis on the results of stress-testing and revaluations of positions for all three complex models: methodology of the Central Bank of stress-testing portfolio risk, model relying on correlations analysis and copula model. The models of stress-testing on solo-basis are different for each financial instrument. Parametric StressVaR model is applicable to shares and options stress-testing;model based on "Grek" indicators is used for options; for euroobligation regional factor model is used. Finally some theoretical recommendations about managing market risk of the portfolio are given.
format	article
author	A. M. Karminsky E. V. Seryakova
author_facet	A. M. Karminsky E. V. Seryakova
author_sort	A. M. Karminsky
title	Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments
title_short	Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments
title_full	Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments
title_fullStr	Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments
title_full_unstemmed	Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments
title_sort	methods and models of market risk stress-testing of the portfolio of financial instruments
publisher	MGIMO University Press
publishDate	2015
url	https://doaj.org/article/561cee721011401faab0dad0d102a743
work_keys_str_mv	AT amkarminsky methodsandmodelsofmarketriskstresstestingoftheportfoliooffinancialinstruments AT evseryakova methodsandmodelsofmarketriskstresstestingoftheportfoliooffinancialinstruments
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Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments

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