Essays about: "Stress Testing Scenarios"

Showing result 11 - 15 of 17 essays containing the words Stress Testing Scenarios.

  1. 11. Micro Drivers behind the Changes of CET1 Capital Ratio : An empirical analysis based on the results of EU-wide stress test

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Dan Luo; Yajing Ran; [2019]
    Keywords : EU-wide Stress Testing; Bank Capital Structure; EU Banks; Determinants; Panel Data Analysis; GARCH Model.;

    Abstract : Background: Stress tests have been increasingly used as a part of the supervisory tool by national regulators after the financial crisis, which can also be used to conduct authorities’ supervisory for determining bank capital levels, assessing the health of a bank. Purpose: The main purpose of this study is to assess whether some micro factors play important roles on the changes of Common Equity Tier One Capital Ratio (between the bank accounting value and the stress testing results under the adverse scenarios). READ MORE

  3. 12. Reverse Stress Test Optimization : A study on how to optimize an algorithm for reverse stress testing

    University essay from Umeå universitet/Institutionen för fysik

    Author : Sarah Marklund; [2018]
    Keywords : ;

    Abstract : In this thesis we investigate how to optimize an algorithm that determines a scenario multiplier for a reverse stress test with a method where predefined scenarios are scaled. The scenarios are composed by different risk factors that represents market events. READ MORE

  4. 13. Reverse stress testing approaches based on multivariate normality

    University essay from Umeå universitet/Institutionen för fysik

    Author : Isabelle Niemi; [2018]
    Keywords : Reverse stress test; clearing house;

    Abstract : Reverse stress testing is a way of finding a combination of market risk factors, called a scenario, that leads to a specific loss for e.g. a portfolio. A market risk factor can for example be a stock return. READ MORE

  5. 14. FE-Modelling and Material Characterization of Ice-Hockey Helmet

    University essay from KTH/Skolan för teknik och hälsa (STH)

    Author : Isotta Rigoni; [2017]
    Keywords : traumatic brain injury; ice-hockey; helmet; finite element;

    Abstract : The aim of this research was to produce a reliable finite element model of a helmet, that could be used to simulate approval tests as well as impacts to investigate the safety offered. A 2D and 3D mesh was generated from the CAD file of an Easton Synergy 380 with HyperWorks, and then checked referring to standard parameter values. READ MORE

  6. 15. Development and evaluation of stress tests : Utilizing stress tests to complement the current ex-ante analysis at Second Swedish National Pension Fund

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Andreas Antonsen Åberg; [2017]
    Keywords : Stress tests; coherent stress test; historical stress test; risk measures;

    Abstract : Stress tests are on a regular basis mentioned on the financial markets where some institutions have to perform it as a regulatory requirement and others have it as an optional way to complement their predictions. Stress tests are used to see how robust a financial instrument or a portfolio are in various scenarios. READ MORE