Cutting edge introduction

A popular copula

The July stress test of Europe’s banks by the European Banking Authority (EBA) has come in for a fair amount of criticism. Some gripe that the scenarios were overly lenient, while risk managers complain the idiosyncrasies of credit modelling mean the results are not comparable from one institution to the next (Risk June 2011, page 12).

Another quibble – at the more specific end of the spectrum – comes from a quantitative analyst at one European bank, who takes aim at the stress test’s approach

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