By Akira Ariyoshi, Professor, Graduate School of Economics and School of International and Public Policy, Hitotsubashi University
【Abstract】One tends to avoid questions for which there are no good answers. For Japanese financial institutions, what they should do to prepare for the possible default of Japanese government bonds (JGBs) must be one such question. However, one should not avoid these uncomfortable questions, as low probability high impact risk (tail risk) tend to materialize more frequently than one might think, and the effect may manifest itself through various channels, and have important impact on corporate management. I would argue that stress scenarios, rather than mechanical stress testing, would better help firms to prepare for such contingencies. (This article was written by the author based on his speech on “Financial crisis: Stress scenario and ERM” held by the Japan Risk Forum’s executive committee on April 18, 2012.)
【Download Full Article】Kinyu Zaisei Jijo August 27, 2012[PDF, 265KB]