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Finances still need to be fixed across the EU, tests find
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2015 stress test plans released with milder 'adverse' scenario
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This paper proposes a formula for a market stress test of a portfolio.
'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 ...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.