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More Stress testing articles
The paper develops a value-at-risk (VAR) methodology to assess Italian banks’ interest rate risk exposure. By using five years of daily data, the exposure is evaluated through a principal component VAR...
The head of group market risk's stress-testing approach has helped transform Deutsche Bank.
BASEL – Global banking regulators said stress testing of internal ratings based (IRB) methods of measuring bank credit risk is the best option in terms of tackling the possibility that the complex...
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.