Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

stress testing sign in to follow this
stressed VaR sign in to follow this
scenarios sign in to follow this

Stress Testing sign in to follow this
--Methods sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Integrating Stress Scenarios into Risk Quantification Models
Company: Journal of Financial Services Research
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: February
Resource Link: Click here to open
Pages: 1-23
Download Count: 0
View Count: 1984
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 3-2-2014
Publisher: Administrator
We enhance the method of integrating scenarios proposed in Ergashev (2012) into risk models. In particular, we provide additional theoretical insights of the method with focus on stress testing Value-at-Risk models. We extend the application of the method, which is originally proposed for scenario analysis in the operational risk context, to market and credit risks. We provide detailed application guidance of the method for market, credit, and operational risks. The method (i) ensures that a stressed model produces a higher risk estimate than the model based on historical data only and (ii) does not require assumptions on stressed loss distributions, thereby simplifying the scenario generation process.
Abdymomunov, Azamat Sign in to follow this author
Blei, Sharon Sign in to follow this author
Ergashev, Bakhodir Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile