Reverse Stress Testing: Reliability Analysis
- Reliability analysis as well as survival analysis was introduced to model lifetimes of technical components systems and organisms or creatures. Lifetime must be understood in a more general sense: Loadings of materials until they break, mileage of engines, amount of damages leading to some kind of failure, stress, burden, etc. The corresponding distribution of such generalised lifetimes and even the reliability function in connection with the hazard rate help to understand the behaviour of failure processes. Reverse stress testing starts in a very similar way, maybe with the failure of a bank. So, for both methods the failure in whatever sense has to be modelled. As well reverse stress testing as reliability analysis start at the end point.
Therefore, we want to contribute to a further development of reverse stress testing considering methods from reliability analysis with this chapter. Especially, analysing the hazard rate and thus the type of failures can help to understand causes of failure. For this, the Weibull distribution andReliability analysis as well as survival analysis was introduced to model lifetimes of technical components systems and organisms or creatures. Lifetime must be understood in a more general sense: Loadings of materials until they break, mileage of engines, amount of damages leading to some kind of failure, stress, burden, etc. The corresponding distribution of such generalised lifetimes and even the reliability function in connection with the hazard rate help to understand the behaviour of failure processes. Reverse stress testing starts in a very similar way, maybe with the failure of a bank. So, for both methods the failure in whatever sense has to be modelled. As well reverse stress testing as reliability analysis start at the end point.
Therefore, we want to contribute to a further development of reverse stress testing considering methods from reliability analysis with this chapter. Especially, analysing the hazard rate and thus the type of failures can help to understand causes of failure. For this, the Weibull distribution and the IDB distribution are useful to model all types of failure.…
Author: | Konrad WälderGND, Olga WälderGND |
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DOI: | https://doi.org/10.1515/9783110647907-009 |
ISBN: | 9783110644821 |
Title of the source (English): | Reverse Stress Testing in Banking - A Comprehensive Guide |
Publisher: | De Gruyter |
Place of publication: | Berlin |
Editor: | Michael Eichhorn, Tiziano Bellini, Daniel Mayenberger |
Document Type: | Part of a book (chapter) |
Language: | English |
Year of publication: | 2021 |
Tag: | Lifetime Distribution; Reliability Analysis; Reverse Stress Testing |
Edition: | 1. Auflage |
First Page: | 203 |
Last Page: | 220 |
Series ; volume number: | The Moorad Choudhry Global Banking Series |
Faculty/Chair: | Fakultät 3 Maschinenbau, Elektro- und Energiesysteme / FG Qualitätssicherung und quantitative Methoden |