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Representative yield curve shocks and stress testing

Author

Listed:
  • Christophe Villa

    (Audencia Recherche - Audencia Business School)

  • Francis X. Diebold
  • Canlin Li
  • Christophe Pérignon

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

Abstract

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Suggested Citation

  • Christophe Villa & Francis X. Diebold & Canlin Li & Christophe Pérignon, 2008. "Representative yield curve shocks and stress testing," Post-Print hal-00797402, HAL.
    • Handle: RePEc:hal:journl:hal-00797402
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    Cited by:

    1. Karimalis, Emmanouil & Kosmidis, Ioannis & Peters, Gareth, 2017. "Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies," Bank of England working papers 655, Bank of England.
    2. Alexander Bogin & William Doerner, 2014. "Generating historically-based stress scenarios using parsimonious factorization," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(5), pages 591-611, November.

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