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Risk Capital Stress Testing Framework and the New Capital Adequacy Rules
Year Of Publication: 2007
Month Of Publication: January
Pages: 27
Download Count: 738
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 3-17-2007
Publisher: Administrator
Summary
We propose a general framework for simulating the value of a nancial portfolio overtime. The main idea is to let experts specify the long-term behaviour of the economy,and use statistical models to generate the behaviour at intermediate time points.First, a set of expert scenarios specifying the values of the dominant risk factorsat a few discrete time points is determined. Then, for each of these scenarios, acontinuous-time model is specied that is consistent with the expert scenario.
Author(s)
Andersson, Hakan Sign in to follow this author
Lindell, Andreas Sign in to follow this author
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