Trust in clusters: a new approach to stress testing

Search for plausible stress scenarios leads Natixis risk managers in a new direction

risk-0616-natixis-cluster-web
Cluster theory: the idea is to generate, on a daily basis, the main credible scenarios that would be the most adverse to the trading floor in a stressed environment

Etienne Varloot is head of quantitative research and global markets regulatory strategy at Natixis and a former deputy head of market and credit risk at the Banque de France. Vivek Shah is head of market risk at Natixis in London

Stress testing has become increasingly popular with supervisors since the financial crisis – both at the bank and desk level – given the well-documented limitations of other risk metrics such as value-at-risk. The Basel Committee on Banking Supervision's Fundamental

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: