NDLI: An Ontology-Based Approach for Bank Stress Testing

Content Provider	IEEE Xplore Digital Library
Author	Jiaqi Yan Daning Hu Zhao, L.
Copyright Year	2013
Description	Author affiliation: Dept. of Inf. Syst., City Univ. of Hong Kong, Hong Kong, China (Zhao, L.)
Abstract	The 2008 banking crisis has demonstrated that there is the lack of effective methods for modeling and analyzing “exceptional but plausible” risk scenarios in bank stress testing. However, existing bank stress testing practices mainly focus on modeling probability-based risk factors and events in a “static snapshot” of the banking systems, but largely ignore the dynamic processes in which financial crisis events and their interactions creates various complex risk scenarios. In addition, the rare (low probability) risk events such as the bankruptcy of Lehman Brothers that can cause “exceptional but plausible” crisis scenarios are largely ignored due to the lack of appropriate modeling and analysis methods. To address this problem, we developed an approach called Banking Event-driven Scenario-oriented Stress Testing (or simply the BESST) which mainly includes three components: 1) a set of stress testing ontologies; 2) an event-driven scenario model (OESM); and 3) a scenario recommendation component. In addition, we show how to use BESST to model and examine “exceptional but plausible” stress testing scenarios in an example process of crisis events. In general, this research has provided the bank stress testing stakeholders a novel approach for modeling and analyzing the rare risk events and their dynamic processes in various financial crisis scenarios.
Starting Page	3407
Ending Page	3415
File Size	357425
Page Count	9
File Format	PDF
ISBN	9781467359337
ISSN	15301605
e-ISBN	9780769548920
DOI	10.1109/HICSS.2013.91
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2013-01-07
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Stress Testing Ontologies Banking Economic indicators Analytical models
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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