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.
[v1] 2014-04-02 02:00:40
Unique-IP document downloads: 235 times
Add your own feedback and questions here:
You are equally welcome to be positive or negative about any paper but please be polite. If you are being critical you must mention at least one specific error, otherwise your comment will be deleted as unhelpful.