How to maximize profitability and minimize risk with dynamic stress testing

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 an...

Full description

Saved in:
Bibliographic Details
Published in:Risk management magazine (Online) 2021-04, Vol.16 (1), p.4-13
Main Author: Akkizidis, Ioannis
Format: Article
Language:English
Subjects:
covid-19
portfolio analysis
portfolio management strategy
static and dynamic analysis
stress testing
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:2612-3665
2724-2153
DOI:10.47473/2020rmm0079