Scenarios and their Aggregation in the Regulatory Risk Measurement Environment

TL;DR

This paper explores how to define, aggregate, and evaluate scenarios in regulatory risk measurement, providing methods and benchmarks to improve risk assessment accuracy.

Contribution

It introduces new methods for aggregating scenarios and benchmarks their properties against regulatory requirements.

Findings

Proposed various scenario aggregation techniques

Benchmarking results against quadrant requirements

Insights into scenario properties and their implications

Abstract

We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.