Market Risk Stress Testing For Internationally Active Financial Institutions
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References listed on IDEAS
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Cited by:
- Xingxing Ye & Raphaël Douady, 2019.
"Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-02488592, HAL.
- Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print hal-02488592, HAL.
- Xingxing Ye & Raphael Douady, 2018. "Systemic Risk Indicators Based on Nonlinear PolyModel," JRFM, MDPI, vol. 12(1), pages 1-24, December.
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More about this item
Keywords
stress testing; risk factors; scenario analysis; shock development; data gathering; stressing correlations; stressing interest rates; PnL calculation; stress scenario probability;All these keywords.
JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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