Quantitative reverse stress testing, bottom up
提出一种自下而上的定量反向压力测试框架，通过蒙特卡洛模拟挖掘导致银行资本成本上升的未来情景，识别银行组合的系统性和特质性脆弱点，适用于偿付风险、极端事件对冲、流动性风险管理等。
We propose a bottom-up quantitative reverse stress testing framework that identifies forward-looking fragilities tailored to a bank's portfolio, credit and funding strategies, models, and calibration constraints. Thus, instead of relying on historical events, we run a Monte Carlo simulation, and we mine those future states that contribute the most to a bank's cost of capital expressed in terms of scenario differential. This approach allows identifying both the systemic and idiosyncratic weaknesses of the bank's portfolio, with applications that include solvency risk, extreme events hedging, liquidity risk management, trading and credit limits, model validation and model risk management.