weaknesses identified and recommendations for improvement in StressTest

Rationale for the use of stress testing

Moral hazard, adverse selection

Power law to measure operational risk

Comman data issue related to inaccuracies and biases

Loss distribution ( loss frequency & loss severity )

Basic indicator approach and the standardized approach

Skew & kurtosis features

How the results of scenario can be interpreted as coherent risk measure

Spectral risk measure

Expected shortfall

Why VaR is not a coherent risk measure

the properties of a coherent risk measure

VaR

relatinoship between economic capital, expected loss and unexpected loss

unexpected loss of an asset

Objective for quantifying both expected and unexpected loss

Economic capital

The process of parameterizing credit risk models

Usage given default & credit optionality

The infuence of risky and risk-free parts of an exposure

Exposures, adjusted exposures, commitments, covenants, and outstandings

Distinguish between expected and unexpected loss

How a credit downgrade or loan default affects the return of a loan

Distinguish between loan and bond portfolio

Expected loss

Different mechanisms for dealing with sovereign risk exposure