Technical paper/Stress-testing
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
A dynamic approach to intraday liquidity needs
This paper studies the intraday liquidity needs of systemically important entities using simulations of the various Colombian financial market infrastructures (FMIs). The paper shows that if liquidity in another FMI (based on the proprietary positions of…
Cutting Edge introduction: Creative stress testing
New stress-testing method offers a break from decades-old traditio
Stress testing in non-normal markets via entropy pooling
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
General covariance, the spectrum of Riemannium and a stress test calculation formula
This paper proposes a formula for a market stress test of a portfolio.
Portfolio construction and systematic trading with factor entropy pooling
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 and Marcello Colasante introduce a technique that…
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Cutting edge introduction
A popular copula
Stressed in Monte Carlo
Stressed in Monte Carlo
Reverse stress tests with bottom-up approaches
Research Papers
A regime-switching approach to model-based stress testing
Research Papers
Stress-testing German credit portfolios
Research Papers