6 pages matching Stress Test in this book
Results 1-3 of 6
What people are saying - Write a review
We haven't found any reviews in the usual places.
11 in rv 95%ExVaR billion yen asset recovery rate assume collateral asset Collateral Type Collateral Value Counterparties Def.Prob credit and market credit rating debentures default probability Discussion Paper Series diversification Diversification/Concentration in Terms equity collateral estimated expected value ExPV billion yen ExVaR calculation ExVaR Model financial institution financial transactions Holding Period hundred loans Index Input File Integrated Risk interest rate standard interest rate swap Intermediate File lognormal process market risk maturity Maturity(y Monetary Policy Nikkei Stock Average Number of Counterparties Off-balance Transactions On-balance and Off-balance portfolio 1-1 portfolio composed present value Principal billion yen Prob quantitative random numbers real estate collateral real estate price risk amount risk evaluation period risk measurement risk premium risk-adjusted Scenario Analysis Section shown in Figure Stress Test thousand simulations Transaction Number Transcation type I credit type of industry Typei unsecured Value at Risk Value Limit Preempt Value of Cashflows vn vm yield curve