Stress testing with fully flexible causal inputs

Stress testing with fully flexible causal inputs


The distribution of the key risk drivers in any given market can never be estimated completely correctly. Stress testing becomes the only effective tool to handle estimation risk both in risk management and portfolio management: the base-case risk model is modified manually, and the ensuing profit and loss distribution is calculated and evaluated.

Stress testing has earned an even more prominent place in the industry following the financial crises of the late 2000s. Basel III, the global

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