First part of the presentation AIS used when was convocated by IMF in Washington to show their stress testing method (RDF).
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Primera parte de la presentación empleada por los representantes de AIS durante su comparescencia organizada por el FMI en su sede de Washington para conocer el método RDF de stress testing de AIS.
Stress Testing A Practical Approach To The Analysis Of Systemic Stability Part1
1. Stress-Testing: A Practical Approach to the Analysis of Systemic Stability Washington DC, July 2010 IMF ( Risk Dynamics into the Future ) José Manuel Aguirre Director - AIS Group Systemic Risk RDF
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4. AIS segments and products / services Risk Management Granting and monitoring models Collection software tool Portfolio Models RDF - Economic Capital - RAROC Support platforms SCACS Consultancy Management tools SIC-GMR Marketing Modeling in marketing database Geodemographic Marketing: Provision of external information Customer value Other services Valuation of real Estate assets Economic and Social impact assessment of financial institutions Cardboard manufacturers plants planning
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10. RDF solutions Real Estate Value Credit Risk management Sales Planning Mgment. of Real Estate values Credit Risk Sales and business planning Applications based on Risk Dynamics into the Future B/S / P&L projection Projection of statements under stressed situations RDF is the solution for the management of values in unstable situations
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18. Objectives and applications of RDF Sales Planning Demand adjusted to the economic scenario Constant demand Demand adjusted to a given macroeconomic model The VARMA model allows to estimate future demand conditioned to the economic situation The traditional model considers a constant demand for each class of client
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21. AIS Intelligent Decisions c/ Castillejos, 365, 2ª Planta 08025 Barcelona - Spain Tel: +34 93 414 35 34 Fax: +34 93 414 10 28 www.ais-int.com Thank you! José Manuel Aguirre [email_address]
Notas del editor
RDF (Risk Dynamics into the Future) is an AIS methodological proposal for the analysis of the impact on the credit investments portfolio of a financial entity in extreme yet plausible situations, generally resulting from an economic crisis. RDF is a method composed of mathematical, statistical and econometric formulae that helps analysts and managers in the Stress testing exercices. The RDF method will be published and their use will be free, following GNU License.
The main targets given to RDF, were the following ones: To identify the worst-case scenarios in the economy using language familiar to management . (Not mathematical or econometrical language) To analyze the impact on a specific credit portfolio, a bank or an aggregate in the financial sector. To quantify this impact using the more advanced Risk measures : Expected and unexpected losses, VaR, Shortfall, … To integrate sets of different Risk Units taking into account realistic correlations . To speed up as much as possible the response of simulations. To take advantage of sophisticated procedures , keeping it simple for the user. Encapsulating models macro and micro, Fourier analysis or saddle-point integrals in such a way that the user can ignore them.
AIS , Aplicaciones de Inteligencia Artificial, S.A. es una consultora multinacional española especializada en aportar soluciones a temas de gestión empresarial complejos. Convertimos datos en información e información en herramientas de apoyo a la toma de decisiones Nuestros consultores aportan conocimientos profundos de modelos cuantitativos para la gestión diaria de diferentes sectores de actividad Nuestra experiencia se traduce en más de veinte años tratando temas de gestión en el sector financiero, asegurador, energético, logístico e industrial aplicando modelos econométricos, estadísticos, así como otras técnicas de vanguardia