کاربرد انواع مدل‌های آزمون استرس برای مدیریت ریسک

نوع مقاله : مقاله پژوهشی

نویسنده

دانشجوی دکتری مدیریت مالی، گرایش مهندسی مالی، دانشگاه یزد، دانشکده اقتصاد، مدیریت و حسابداری.

چکیده

شبکه­های مالی کانالی بالقوه برای انتشار شوک­های بحران­ها می­باشند که به عنوان عامل اصلی برای ثبات سیستماتیک در نظر گرفته می­شوند. اصطلاح آزمون استرس به تکنیک­ها و روش­های مختلف برای ارزیابی تاثیر حوادث یا ترکیبی از وقایع اشاره می­نماید که ممکن است به­طور معمول برای واحد­های کسب و کار رخ بدهد. روش پژوهش حاضر به روش شناخت تاریخی و به شیوه کتابخانه­ای و با هدف توسعه و ترویج دانش با استفاده از منابع علمی نظیر کتب و مقالات اجرا شده است. در این پژوهش ضمن بررسی پیشینه پژوهش­های انجام شده در خصوص آزمون استرس، به کاربرد آزمون استرس در مدیریت ریسک پرداخته و مراحل طراحی پیاده­سازی آزمون استرس را در قالب نمودار ترسیم نموده و انواع روش­های مختلف آزمون استرس را معرفی می­نماییم و بعد از آن مزایا و مشکلات آزمون استرس را بیان نموده و در نهایت به ارائه پیشنهادات در خصوص پیاده­سازی این روش می­پردازیم.
 
 

کلیدواژه‌ها


عنوان مقاله [English]

Application of stress test models in risk management

نویسنده [English]

  • Marziyeh Nourahmadi
Ph.D. student of financial management, financial engineering, Yazd University, Faculty of Economics, Management and Accounting.
چکیده [English]

Financial networks are potential channels for the propagation of crises shocks which are considered as the main factor for systematic stability. The term stress test refers to different techniques and methods used to assess the impact of events or combinations of events, which may occur normally for business units. The methodology of this research is based on historical cognitive method through library method and aimed at knowledge development using scientific resources such as books and articles. In this study, after a short review on the application of stress tests in different researches, we will study the different aspects of the application of stress tests, then we deal with the steps to apply stress tests in risk management using different charts and diagrams. Then we will introduce variety of different methods to run stress tests and will explain the advantages and disadvantages of stress tests, and finally we will offer some recommendations regarding the implementation of this method.
 

کلیدواژه‌ها [English]

  • Stress test
  • management risk
  • Scenario analysis
*       رهنمود انجام آزمون بحران، سال ۱۳۹۲، بانک مرکزی جمهوری اسلامی ایران، مدیریت کل مقررات، مجوزهای بانکی و مبارزه با پول شویی اداره مطالعات و مقررات بانکی.
*       صالح آبادی،علی و الهیاری، میثم، 1395، "کاربرد آزمون استرس از دیدگاه نظارتی و مقررات گذاری بر موسسات مالی"، دانش سرمایه گذاری، ش 19، سال پنجم.
*       Acharya, V., Engle, R., & Pierret, D. (2014). Testing macroprudential stress tests: The risk of regulatory risk weights. Journal of Monetary Economics, 65, 36-53.
*       Aikman, D., Alessandri, P., Eklund, B., Gai, P., Kapadia, S., Martin, E., ... & Willison, M. (2009). Funding liquidity risk in a quantitative model of systemic stability.
*       Alessandri, P., Gai, P., Kapadia, S., Mora, N., & Puhr, C. (2009). A framework for quantifying systemic stability. International Journal of Central Banking, 5(3), 47-81.
*       Alexander, C., & Sheedy, E. (2008). Developing a stress testing framework based on market risk models. Journal of Banking & Finance, 32(10), 2220-2236.
*       Anand, K., Bédard-Pagé, G., & Traclet, V. (2014). Stress testing the Canadian banking System: a System-wide approach. Financial System Review, 61.
*       Aragonés, J. R., Blanco, C., & Dowd, K. (2001). Incorporating Stress Tests into Market Risk Modeling (Digest Summary). Derivatives Quarterly, 7(3), 44-49.
*       Basu, S. (2011). Comparing simulation models for market risk stress testing. European Journal of Operational Research, 213(1), 329-339.
*       Bee, M. (2001). Mixture models for VaR and stress testing.
*       Berkowitz, J. (1999). A coherent framework for stress-testing.
*       Blaschke, W., Peria, M. S. M., Majnoni, G., & Jones, M. T. (2001). Stress testing of financial systems: an overview of issues, methodologies, and FSAP experiences (Vol. 1). International Monetary Fund.
*       Boss, M., Fenz, G., Krenn, G., Pann, J., Puhr, C., Scheiber, T., ... & Ubl, E. (2008). Stresstests für das österreichische FSAP-Update 2007: Methodik, Szenarien und Ergebnisse. OENB Finanzmarktsstabilitätsbericht, 15, 72-99.
*       Boss, M., Krenn, G., Puhr, C., & Summer, M. (2006). Systemic risk monitor: A model for systemic risk analysis and stress testing of banking systems. Financial Stability Report, 11, 83-95.
*       Brechmann, E. C., Hendrich, K., & Czado, C. (2013). Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics, 53(3), 722-732.
*       Breuer, T., & Csiszár, I. (2013). Systematic stress tests with entropic plausibility constraints. Journal of Banking & Finance, 37(5), 1552-1559.
*       Breuer, T., Krenn, G., & Pistovcák, F. (2002). Stress tests, maximum loss, and value at risk. In Regulierung oder Deregulierung der Finanzmärkte (pp. 301-313). Physica-Verlag HD.
*       Bühn, A., & Klauck, K. (2006). Stresstests–Einführung und Grundlagen. Stresstests in Banken: Von Basel II bis ICAAP, Schäffer-Poeschel Verlag, Stuttgart, 11-22.
*       Čihák, M. (2007). Introduction to applied stress testing. IMF Working Papers, 1-74.
*       Demarta, S., & McNeil, A. J. (2005). The t copula and related copulas. International statistical review, 73(1), 111-129.
*       Doumpos, M., Zopounidis, C., & Fragiadakis, P. (2016). Assessing the financial performance of European banks under stress testing scenarios: a multicriteria approach. Operational Research, 16(2), 197-209.
*       Dowd, K. (2005). Measuring market risk. John Wiley & Sons.
*       Èihák, M. (2005). Stress testing of banking systems. Czech Journal of Economics and Finance (Finance a uver), 55(9-10), 418-440.
*       Eldomiaty, T. I., Bahie Eldin, A., & Azzam, I. (2016). Determinants of Capital Adequacy Ratios Under Basel III: Stress Testing and Sensitivity Analysis on Egyptian Banks.
*       Foglia, A. (2008). Stress testing credit risk: a survey of authorities' approaches.
*       Goldstein, I., & Sapra, H. (2014). Should banks' stress test results be disclosed? An analysis of the costs and benefits. Foundations and Trends® in Finance, 8(1), 1-54.
*       Jobst, A. A., Ong, L. L., & Schmieder, C. (2017). Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems.
*       Kapinos, P., & Mitnik, O. A. (2016). A top-down approach to stress-testing banks. Journal of Financial Services Research, 49(2-3), 229-264.
*       Kim, J., & Finger, C. C. (2000). A stress test to incorporate correlation breakdown. Journal of Risk, 2, 5-20.
*       Koliai, L. (2016). Extreme Risk Modelling: An EVT–Pair-copulas Approach for Financial Stress Tests. Journal of Banking & Finance.
*       Kupiec, P. (2002). Stress Testing in a Value at Risk Framework1. Risk management: value at risk and beyond, 76.
*       Longin, F., & Solnik, B. (2001). Extreme correlation of international equity markets. The journal of finance, 56(2), 649-676.
*       Lopez, J. A. (2005). Stress tests: Useful complements to financial risk models. FRBSF Economic Letter.
*       Maino, R., & Tintchev, K. (2013). Stress Testing Interconnected Banking Systems. In Advances in Financial Risk Management (pp. 148-180). Palgrave Macmillan UK.
*       Majnoni, G., Peria, M. S. M., Blaschke, W., & Jones, M. T. (2001). Stress testing of financial systems: an overview of issues, methodologies, and FSAP experiences. International Monetary Fund.
*       McNeil, A. J., & Frey, R. (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. Journal of empirical finance, 7(3), 271-300.
*       McNeil, A. J., & Smith, A. D. (2012). Multivariate stress scenarios and solvency. Insurance: Mathematics and Economics, 50(3), 299-308.
*       Pagratis, S., Topaloglou, N., & Tsionas, M. (2017). System stress testing of bank liquidity risk. Journal of International Money and Finance, 73, 22-40.
*       Quagliariello, M. (2009). Stress-testing the Banking System. Cambridge University Press.
*       Rösch, D., & Scheule, H. H. (2007). Stress-testing credit risk parameters: an application to retail loan portfolios.
*       Sandoval, L., & Franca, I. D. P. (2012). Correlation of financial markets in times of crisis. Physica A: Statistical Mechanics and its Applications, 391(1), 187-208.
*       Schuermann, T. (2014). Stress testing banks. International Journal of Forecasting, 30(3), 717-728.
*       Singh, A. K., Allen, D. E., & Robert, P. J. (2013). Extreme market risk and extreme value theory. Mathematics and computers in simulation, 94, 310-328.
*       Sorge, M. (2004). Stress-testing financial systems: an overview of current methodologies.
*       Van Den End, J. W. (2009). Liquidity stress-tester: a model for stress-testing banks’ liquidity risk. CESifo Economic Studies, 56(1), 38-69.
*       van den End, J. W. (2012). Liquidity stress-tester: do Basel III and unconventional monetary policy work?. Applied Financial Economics, 22(15), 1233-1257.
*      Virolainen, K. (2004). Macro stress testing with a macroeconomic credit risk model for Finland.