A factor-model approach for correlation scenarios and correlation stress testing
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DOI: 10.1016/j.jbankfin.2019.01.020
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Cited by:
- Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
- Bryan Lim & Stefan Zohren & Stephen Roberts, 2020. "Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio," Papers 2002.02008, arXiv.org, revised Sep 2020.
- Fabian Woebbeking, 2021. "Cryptocurrency volatility markets," Digital Finance, Springer, vol. 3(3), pages 273-298, December.
- Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
- Pilkington, Marc, 2022. "The London Whale Scandal under new Scrutiny," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Chibane, Messaoud & Gabriel, Amadeus & Giménez Roche, Gabriel A., 2022. "Credit booms and crisis-emergent asset comovement: The problem of latent correlation," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 270-279.
- Pascal Traccucci & Luc Dumontier & Guillaume Garchery & Benjamin Jacot, 2019. "A Triptych Approach for Reverse Stress Testing of Complex Portfolios," Papers 1906.11186, arXiv.org.
- Aigner, Philipp & Schlütter, Sebastian, 2023. "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series 47/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
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More about this item
Keywords
Correlation stress testing; Scenario selection; Market risk; “London Whale”;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- 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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