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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: 1582
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 3-2-2014
Publisher: Administrator
Summary
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.
Author(s)
Abdymomunov, Azamat Sign in to follow this author
Blei, Sharon Sign in to follow this author
Ergashev, Bakhodir Sign in to follow this author
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