10. Stress Testing Credit Risk Models: Algorithmics Mark-to-Future

  1. Anthony Saunders and
  2. Linda Allen

Published Online: 6 DEC 2011

DOI: 10.1002/9781118267981.ch10

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

How to Cite

Saunders, A. and Allen, L. (2010) Stress Testing Credit Risk Models: Algorithmics Mark-to-Future, in Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118267981.ch10

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 19 APR 2010

ISBN Information

Print ISBN: 9780470478349

Online ISBN: 9781118267981

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Keywords:

  • stress testing credit risk models;
  • U.S. banks;
  • bank risk measurement models;
  • federal reserve system;
  • internal ratings method

Summary

This chapter contains sections titled:

  • Introduction

  • Back-Testing Credit Risk Models

  • Using the Algorithmics Mark-to-Future Model

  • Stress Testing U.S. Banks in 2009

  • Summary