A meta-model approach to scenario generation in bank stress testing

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)

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Detail(s)

Original languageEnglish
Title of host publicationProceedings - 21st Workshop on Information Technologies and Systems, WITS 2011
PublisherJindal School of Management, JSOM
Pages145-150
StatePublished - 2011

Conference

Title21st Workshop on Information Technologies and Systems, WITS 2011
PlaceChina
CityShanghai
Period3 - 4 December 2011

Abstract

In the aftermath of the recent financial tsunami, the newly released Basel III Accord has demanded Scenario-based Stress Testing for banks. However, scenario generation is currently a bottleneck due to great heterogeneity in banking practices and organizational structures, leading to a research gap confronting IT professionals. To this end, we devise a way to treat financial scenario selection as a set-covering problem found in the field of approximation algorithms. Another ingenuity of our approach is to offering a high-level framework in order to accommodate individual bank variations, which we call as a meta-model approach. In addition, we propose a decision-support framework for scenario-based stress testing.

Citation Format(s)

A meta-model approach to scenario generation in bank stress testing. / Hua, Zhimin; Zhao, J. Leon.

Proceedings - 21st Workshop on Information Technologies and Systems, WITS 2011. Jindal School of Management, JSOM, 2011. p. 145-150.

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)