Risk Management and Financial Institutions : [PDF Download]

PDF Title:Risk Management and Financial Institutions
Author:John C. Hull
Total Page:830 Pages
PDF Size:6.92 MB
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“Stress testing involves evaluating the impact of extreme, but plausible, scenarios that are not considered by value at risk (VaR) or expected shortfall (ES) models.

If there is one lesson to be learned from the market turmoil that started in the summer of 2007, it is that more emphasis should be placed on stress testing and less emphasis should be placed on the mechanistic application of VaR/ES models.VaR/ES models are useful, but they are inevitably backward-looking.

Risk management is concerned with what might happen in the future. This chapter considers the different approaches that can be used to generate scenarios for stress testing and how the results should be used.

It explains that the financial crisis of 2007–2008 has caused regulators to require banks to conduct more stress testing and that increasingly regulators are defining the stress tests themselves in an attempt to ensure that banks have sufficient capital to withstand adverse scenarios.”

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