Economics and Finance

   

Stress-Testing Model for Corporate Borrower Portfolios

Authors: Seleznev Vladimir, Denis Surzhko, Nikolay Khovanskiy

Despite the significant attention to the stress-testing issues in finances world-wide, the ways of quantitative assessment of the stress impact on the portfolios of non-public (in the absence of equity or debt market quotes) corporate borrowers are currently not sufficiently developed or standardized. The aim of this article is to propose high-level universal requirements to the quantitative models of stress-testing of non-public corporate borrower portfolios, and to describe the model, developed by the authors, which meets such requirements. Details of the model’s calibration, implementation (using Monte-Carlo simulations) and some practical issues are covered in the article.

Comments: 6 Pages.

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Submission history

[v1] 2014-04-02 02:00:40

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