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Stress Testing
Company: Encyclopedia of Quantitative Finance
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: January
Resource Link: Click here to open
Download Count: 0
View Count: 1113
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 12-18-2011
Publisher: Administrator
Stress testing and scenario analysis encompass a variety of nonstatistical tools for evaluating the risk of loss, that is, reduction in market value, in a portfolio of financial instruments. Typically, these are used in conjunction with the other risk measurement methods, most notably Value at Risk. These tools are used in the construction of portfolio hedges, in the determination of regulatory and economic capital adequacy, and in setting portfolio risk limits, among others.
Schachter, Barry Sign in to follow this author
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