How to maximize profitability and minimize risk with dynamic stress testing

Risk Management Magazine

卷:16

Ioannis Akkizidis¹ 

[1] Wolters Kluwer;

关键词: static and dynamic analysis;    covid-19;    stress testing;    portfolio analysis;    portfolio management strategy;   

DOI  :  10.47473/2020rmm0079

来源: DOAJ

【 摘 要 】

This paper offers a novel approach for optimizing banks’ accounts and portfolios by using both static and dynamic simulation analysis to perform stress tests using several strategies and scenarios driven by exogenous shocks, such as the Covid-19 pandemic. The results of this analysis are explored and discussed using real cases in which dynamic analysis in stress scenarios has been applied to specific banking portfolios that may be impacted by Covid-19.

【 授权许可】

Unknown