Title: Firm-wide stress testing and economic capital
Description: Industy-wide requirements for stress testing have spurred risk managers to think hard about how macroeconomic variables impact bank risk profiles.  Now some risk managers are wondering how marcroeconomic developments can inform their economic capital modelling as well. This shows how to build a framework that will close the gap between stress testing and economic capital modelling. Risk personnel will undertake their modelling work in a unified, coherent way and take on board the joint probablilities of outcomes, as well as the wav varialbles are likely to evolve over long forecast horizons.  It analyses how best to encourage more consistent modelling, antd the balance sheet projection methodology allows for the integration of liquidity risk.
Subjects: Financial institutions, Risk management, Financial risk management, Capital movements