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For a given set of banks, how big can losses in bad economic or financial scenarios possibly get, and what are these bad scenarios? These are the two central questions of stress tests for banks and the banking system. Current stress tests select stress scenarios in a way which might leave aside many dangerous scenarios and thus create an illusion of safety; and which might consider highly implausible scenarios and thus trigger a false alarm. We show how to select scenarios systematically for a banking system in a context of multiple credit exposures. We demonstrate the application of our method in an example on the Spanish and Italian residential real estate exposures of European banks. Compared to the EBA 2016 stress test our method produces scenarios which are equally plausible as the EBA stress scenario but yield considerably worse system wide losses.
With Cloud Computing and multi-core CPUs parallel computing resources are becoming more and more affordable and commonly available. Parallel programming should as well be easily accessible for everyone. Unfortunately, existing frameworks and systems are powerful but often very complex to use for anyone who lacks the knowledge about underlying concepts. This paper introduces a software framework and execution environment whose objective is to provide a system which should be easily usable for everyone who could benefit from parallel computing. Some real-world examples are presented with an explanation of all the steps that are necessary for computing in a parallel and distributed manner.