This paper proposes a formula for a market stress test of a portfolio.
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Stress testing articles
'Capital is not the answer to everything,' says Bernardino
Firms to apply sovereign crisis and 'Japanification' scenarios
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia ...
Severe financial turbulence is driven by high impact and low probability events that are the hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme tail of a probability...
Fixed scenarios "could be procyclical"
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. ...
Multivariate analysis is a powerful tool for finding significant relationships between business environment and risk losses
Major US banks are failing on key risk management tasks, regulator says
Capturing tail events, especially those that include the rare possibility of severe loss, is one of the important objectives of modern risk analysis. However, the past behavior of financial data is not...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.