波士顿咨询——压力测试介绍StressTesting

1、stresstest,risk management stress testing christian rosen, carsten gerhardt, franz j. herrlein, thomas gross frankfurt am main, july 2000,the boston consulting group,stresstest,abstract,this deck describes the importance of stress testing in the context of risk management based on the overall purpos

2、es of risk management it is shown that the traditional risk measuring methods are not sufficient and have to be extended examples how to develop stress testing scenarios for market, credit and operational risk are provided the deck also contains a short overview on relevant software providers,stress

3、test,agenda,introduction and definitions stress testing as extension of the traditional var approach integration of stress testing into the overall risk management concept development of stress testing scenarios examples market risk credit risk operational risk software providers summary,stresstest,

4、agenda,introduction and definitions stress testing as extension of the traditional var approach integration of stress testing into the overall risk management concept development of stress testing scenarios examples market risk credit risk operational risk software providers summary,stresstest,risk

5、management serves two main purposes,risk-return- optimization,protection of the entire bank,risk management,stresstest,therefore risk management requires coverage of systematic and non-systematic risk-exposure (i),total risk on balance sheet off balance sheet,calculation of potential risk by mathema

6、tical statistical models,calculation of potential risk by worst case scenarios,systematic risk/ expected shift depends on business type default of single large debitor,global or foreign economic downturns shifts transaction matrix default of a single large debitor,increase of default rates by more t

7、han 20%,shift of transaction matrix defaults of single large bond issuers,default scenarios for municipal bonds single large communities default,3,stresstest,business units,central clearing committee,business units,common set of scenarios to be decided on by clearing committee,central clearing commi

8、ttee decides on common set of stress scenarios,each business unit uses standard scenarios for its business scenarios are back-tested, modified if necessary, and reported back to central clearing committee,each business unit generates individual scenarios according to specific business and experience

9、,4,stresstest,stress scenarios are developed at different levels before being validated by central clearing committeeeach level adds another perspective to scenario development,global stress scenarios encompassing all activities of the bank,operational risk,credit risk,market risk,central clearing c

10、ommittee,research (internal, external),company perspective,business unit perspective,operational risk,credit risk,market risk,individual stress tests according to portfolio composition,individual stress tests according to portfolio composition,individual stress tests according to portfolio compositi

11、on,individual stress tests according to portfolio composition,input,risk-type perspective,chief risk officer, bu representa- tives, specialists,central risk management,risk managers of business units,4,stresstest,stress testing can be included in the regular risk management process,forecast of rates

12、 the government loan is not taken up by the market, in spite of interest rates having risen by 230%,tequila crisis,1994/95,the thai baht loses 16% of its value against the u.s. dollar on one day after unpegging on july 1, 1997.the low point is reached on january 27, 1998, with a loss of 55%.before i

13、ts unpegging, the central bank had invested more than us$20 billion to back the exchange ratesin october, korea is forced to float the won; depreciation of up to 55% (december 24, 1997)the indonesian rupiah also devalues, and the political crisis intensifies and lengthens the economic one; devaluati

14、on reaches 85% against the u.s. dollar (july 1998). corporate loan repayments are suspended,asian crisis, 1997,in spite of preceding iwf payments of us$4.8 billion after adevaluation of the ruble by 36%, it had to be floated as of january 1, 1998; in september it lost another 30 percentage points. d

15、ebt moratorium on august 17, 1998.,russian crisisstarting august1998,a domino effect that has the potential to affect financial markets worldwide and can only be preventedat the intervention of alan greenspan; 14 banks provide the fund with us$3.6 billion. due to the losses, ubs has to set up a liab

16、ility reserve of about us$800 million,ltcm 1998starting sept. 2,(1) european monetary union,stresstest,all scenarios should be generated according to the banks specific portfolio composition,composition of portfolio,examples,stress scenarios,local portfolio,stocks of local industry,portfolio concent

17、rated on special industries,stocks of one particular industry,scenarios focussing on concentration risk,international portfolio,global stocks,stress testing global standard scenarios,stress test of local factors: unemployment rate, upcoming competition from outside.,a,b,c,stresstest,examples of stan

18、dard market risk scenarios,parallel yield curve shifting equity index value change currency moves change of volatilities yield curve twisting1,100 bp 10% 6% 20%,events: stock market crashes war local turmoils (asia-crisis),possible insight: changes in equity index changes in commodity prices (e. g.

19、oil) changes in fx-ratios,experience for scenarios is gained from historical events:,(1) in a market with a twisted yield curve, short term bonds become more expensive than long term bonds source : derivatives policy group, a private sector group consisting of six large financial firms. formed to ad

20、dress public policy issues raised by otc derivatives activities,stresstest,systematic stress testing helps identify relevant drivers and their magnitudeperformed via a stress scenario matrix: fictitious example,0,5,-625,-425,-225,-125,-25,175,375,parallel interest rate shifts (%),index change (%),pr

21、ofit and loss impact on selected portfolio or single asset class,selection of parameters depends on portfolio,selection of parameters depends on portfolio,market shock with high negative correlation of interest rates and market index (expected dynamics),market shock with inverse correlation (inverse

22、 dynamics),systematic testing helps to identify relevant risk factors systematic testing yields information about the absolute impact of these factors on the portfolio,stresstest,systematic stress testing should analyze not more than three independent parameters at oncecomplexity becomes too high,tw

23、o-dimensional matrix,parameter 1,parameter 2,n x m market scenarios,three-dimensional matrix,parameter 2,parameter 3,parameter 1,m x n x o market scenarios,n-dimensional matrix,far too many combinations,to find relevant market scenarios, sets of only two or three parameters should systematically be

24、analyzed,backup,stresstest,historical scenarios and their market impact (i),backup,source: riskmetrics group,scenario,likely market impact,liquidity crisis (e.g. oct 97 hkd attack and brazil rate hike, ltcm blow up in 1998),rate rise:+50 to 100 bp spread rise:+40 to 100 bp equity index drop:6% to 10

25、%,major currency devaluations and emerging markets turmoil (brazil 99, russia 98, asia 97),rate rise:+100 to 200 bp spread rise:+40 to 200 bp equity index drop:10% to 20%,major financial sector crisis (us s&l 80s crisis, japan 90s, asia 97),yield curve steepens:-100 to 300 bp spread rise:60 to 300 b

26、p equity index drop:15% to 25%,major stockmarket crash (us 04, 29, 87),yield curve steepens:-100 to 400 bp spread rise:100 to 500 bp equity index drop:20% to 30%,stresstest,1995 nikkei crisis,origin: recovering from crash in real estate and stock markets in early 1995 japan was hit by major earthqua

27、ke in kobe, osaka and kyoto. results: stock of insurance companies did fall. over the following months nikkei and $/yen exchange rates did lose value dramatically.,historical scenarios and their market impact (ii),1979 oil crisis,1997 thai baht devaluation,origin: strikes and political turmoils in i

28、ran reduced production of oil significantly. worldwide production of oil was only slightly reduced (4 %) but accompanied by panic reactions due to uncertainty of political development in iran and iraq. results: 150% increase in oil price resulted in market shock within oil importing economies: rise

29、of interest rate: +42 %,origin: strong economic growth in thailand was accompanied by undercapitalization of thai banks. baht was pegged to currency basket including $ u.s., hence it did not devalue. results: on july 2, 1997 baht was let to float, which resulted in an immediate loss in value of 20%

30、in the first month.,source : bcg research,backup,60,50,40,30,20,dec 94,jan 95,mar 95,apr 95,jun 95,35,30,25,20,15,jan 78,may 78,sep 78,jan 79,may 79,sep 79,baht/usd exchange rate,yen/usd exchange rate,refiner acquisition cost of imported crude oil,us interest rates,yen / us $,nominal dollars/barrel,

31、19,18,17,16,15,14,13,12,baht / us $,interest rate (%),stresstest,impact of market shocks on a portfolio of a global bank,backup,geographic region,interest rates,move, bp,equities,fx,north america,europe,japan,emerging, asia,russia & eastern europe,latin america,total portfolio,p/l ($mm),move, %,p/l

32、($mm),move, %,p/l ($mm),80 -80,-5.6 5.0,-8 8,-5.8 5.2,net by region,-10 10,-1.5 1.3,100 -100,-8.7 7.0,-10 10,-4.6 3.7,-10 10,-1.3 1.1,50 -25,4.0 -3.0,-10 10,3.0 -2.5,-10 10,1.4 -1.6,250 -200,-2.0 -1.8,-25 25,-3.2 -2.9,-20 20,-0.1 0.1,400 -300,5.0 -4.0,-30 30,-3.3 2.3,-25 25,3.1 -2.2,1000 -500,-12.0

33、8.0,-35 35,-4.0 6.0,-20 20,5.0 -2.0,up down,-19.3 20.8,down up,-17.9 17.6,down up,6.3 -3.2,-10.1 12.0,-14.0 14.6,9.1 -3.5,-5.0 4.9,5.3 -3.7,-10.7 13.9,-26.6 37.0,stress test commentary overall economic sensitivities to stress scenarios are within tolerance limits: daily loss in a global market scena

34、rio is estimated at $26.6m, and gainin a global bull market scenario is $37m largest asset class is interest rates ($-19.3/20.8), following closely by equities ($-17.9/17.6) largest regional exposure to bear market is europe (-$14.0), followed closely by north america (-$10.1) due largely to corpora

35、te bond inventoriesby n.y. and london fixed income note net short position in japan and russia across asset classes (i.e., losses in a bull market) note also short position in latin america fx ($5.0) largely through real/usd puts, coupled with long positions in brady bonds (-$12.0) and equities (-$4

36、.0) by emerging markets note that all individual gains and losses in a row do not, in general, add up to the net by region entry (even without non-linear positions), becauselosses are generally lessened by big moves whereas gains are accented. for example, when the european equities fall by 10%, and

37、 the fx rate decreases by 10%, the drop in value of a pure equity portfolio when both of these events occur is smaller than 10%, because the equities lose 10%of their value initially, and then lose 10% of their reduced value to fx,source: riskmetrics group,1 day worst case stress scenario,stresstest

38、,us yield curve stress scenario (1-jan-99),creation of an anticipatory scenarioswap spread widening scenario as a flight to safety phenomenon,assumptions,initial event: interest rates increase in times of high market volatility consequences : increase 1 month swap rate by + 30bp lower 3 month govern

39、ment rates by -30bp software estimates effects on the yield curves and market rates based on correlations from january 1, 1999 to july 1, 1998,1 day return %,asset class,-7.80,u.s. s&p 500,-8.76,spain ibex 35,-17.59,argentina se blue chip,-6.44,thb,-5.44,sweden omx,-5.23,mexico ipc,-5.22,singapore d

40、ollar,-4.23,germany dax,+0.42,japan nikkei 225,-5.00,france cac 40,-3.79,jpy,-0.95,gbp,+0.22,frf,+0.22,dem,months,1-month swap up 30bp,3-month gov down 30bp,source: riskmetrics group,backup,stresstest,case study: a brazilian companystep 1: generate scenario,you are a brazilian consumer products comp

41、any with significant amount of unhedged usd-denominated liabilities problem: devaluation of brazilian real (r$) would make usd-liabilities expensive,1) significant widening of trade deficit puts pressure on local currency, interest rates and equity market 2) narrowing of trade deficit, which is a po

42、sitive scenario for local markets,economists forecast of rates & values:,backup,two scenarios:,source: riskmetrics group,stresstest,case study: a brazilian companystep 2,3: revalue position and summarize results,backup,p&l (in r$ millions),widening trade deficit,narrowing trade deficit,r$/us$ exchan

43、ge rate r$ yield curve bovespa equity index,-20 bp +5 bp -9 bp,0 bp -2 bp +6 bp,-24 bp,+4 bp,revalue positions:,summarize results: 1)devaluation results in direct financial loss of r$24m for the company narrowing of trade deficit could bring r$4m over 1 day 2)management should assess how scenario af

44、fects underlying business devaluation hurts domestic sales but increases exports 3)reduce risk unhedged usd-liabilities create largest potential loss could be reduced by fx-forward hedge or purchasing put options on r$ vs. dollar,source: riskmetrics group,stresstest,examples for market risk stress-t

45、esting practicesin leading banks,credit suisse first boston,stress-testing used as extension to var-methods for market risk measurement bank uses predefined sets of extreme market movements on a monthly basis covers:anticipatory, emerging markets and historical scenarios characterized by: fx-rate, i

46、nterest-rate, spread-changes, stock-index changes, changes in gold & oil price,ing,stress-testing used for market risk measurement as extension to var includes pessimistic scenarios for countries & regions,wells fargo,interest-rate risk considered to be major risk stress-tests use interest-rate spre

47、ads to calculate change in income stress changes are usually by 100 bp,morgan stanley dean witter,only stress-testing interest-rate risk 100 bp movements of relevant rates (libor, prime rate, commercial paper) are investigated result:100 bp movement of fall rates yielded end of 1998 reduced pre-tax

48、income of $65m,source : business statements, 1998,stresstest,agenda,introduction and definitions stress testing as extension of the traditional var approach integration of stress testing into the overall risk management concept development of stress testing scenarios examples market risk credit risk

49、 operational risk software providers summary,stresstest,scenarios for credit risk are divided into three parameter categories,possible scenarios for credit events,structural scenarios,increase of default frequencies or shift of migration matrix for certain groups of exposures relating to certain typ

50、es of businesses only causes business trends market liberalizations earnings deteriorations for certain branches regulatory changes,country scenarios,increase of default frequencies or shift of migration matrix for exposures of one country or large regions causes embargos, wars, fx-devaluations loca

51、l economic turmoils(asia crisis 99, russian crisis 98, tequila crisis 95),all encompassing scenarios,increase of default frequencies or shift migration matrix for allexposures of a credit portfolio causes global economic turmoils(recessions, high market volatilities) stock market crashes wars (gulf

52、war,.) embargo politics(change in oil prices),stresstest,change in growth rates of beer consumption,all scenarios should be generated according to the bank specific portfolio composition,portfolio profiles,examples,possible scenarios,portfolio dominated by: small companies operating mainly in local

53、markets/sme,local smes like small breweries, local construction companies,portfolio dominated by: national companies active in international markets,export oriented medium sized companies: mechanical engineering, small high tech companies,fx-rate volatilities, turmoil in export markets, export restr

54、ictions for countries/products,portfolio dominated by: international corporates operating and working globally,large international companies: siemens, nestle, daimlerchrysler.,changes in global market parameters: fx-rates, interest rates, stock indices, index volatilities,a,b,c,stresstest,examples f

55、or the derivation of structural scenarios,(1) conditional models examine the impact of macroeconomic data on the default rates or rating migrations,stresstest,credit portfolio viewtm estimates macroeconomic impact on the transition matrix via a multifactor model,input,user specified transition matri

56、x credit exposure macroeconomic data: unemployment rate credit to the economy gdp growth regional housing prices long-term interest rates fx-rates public disbursement aggregated savingsrate industry index consumer price index,credit portfolio view,simulation of macroeconomic trends calculation of ma

57、croeconomic index from macroeconomic data via multifactor model calculation of shift of migration matrix conditional transition matrix recalculation of expected losses,risk capital and loss distribution monte-carlo-simulation,output,credit risk capital expected losses modified transition matrix port

58、folio loss distribution,stresstest,industries,credit portfolio viewtm takes user specified data and market data as input,source: credit portfolio view, technical documentation 1) loan equivalent exposure consists of current exposure (loss in value should credit event occur today) and potential expos

59、ure (additional potential loss if credit event occurs at some time during life commitment),credit portfolio viewtm,exposures (entered by the user),name + id domicile country name parent country name industry name risk rating risk index business unit name transaction type name loan equivalent exposur

60、e profile1 recovery probabilities,model parameters,risk sensitivity (for systematicand non-systematic risk) degree of accuracy confidence level ,agriculture banking/insurance construction energy process trade services telecom/transport,backup,stresstest,cc risk management model,the credit risk model