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Systematic stress tests with entropic plausibility constraints

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Cited by:

  1. Pierluigi Bologna & Anatoli Segura, 2017. "Integrating Stress Tests within the Basel III Capital Framework: A Macroprudentially Coherent Approach," Journal of Financial Regulation, Oxford University Press, vol. 3(2), pages 159-186.
  2. Agarwal, Ankush & De Marco, Stefano & Gobet, Emmanuel & Liu, Gang, 2018. "Study of new rare event simulation schemes and their application to extreme scenario generation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 143(C), pages 89-98.
  3. Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas, 2021. "Sensitivity analysis with χ2-divergences," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 372-383.
  4. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  5. Fomichov, Vladimir & González Cázares, Jorge & Ivanovs, Jevgenijs, 2021. "Implementable coupling of Lévy process and Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 407-431.
  6. 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".
  7. Zi-Yi Guo, 2017. "A Model of Plausible, Severe and Useful Stress Scenarios for VIX Shocks," Applied Economics and Finance, Redfame publishing, vol. 4(3), pages 155-163, May.
  8. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
  9. Andrew McKenna & Rhys Bidder, 2014. "Robust Stress Testing," 2014 Meeting Papers 853, Society for Economic Dynamics.
  10. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
  11. Darné, Olivier & Levy-Rueff, Guy & Pop, Adrian, 2024. "The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach," Economic Modelling, Elsevier, vol. 136(C).
  12. Pichler, Alois & Schlotter, Ruben, 2020. "Entropy based risk measures," European Journal of Operational Research, Elsevier, vol. 285(1), pages 223-236.
  13. Breuer, Thomas & Summer, Martin, 2020. "Systematic stress tests on public data," Journal of Banking & Finance, Elsevier, vol. 118(C).
  14. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
  15. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  16. Brandtner, Mario & Kürsten, Wolfgang & Rischau, Robert, 2018. "Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity," European Journal of Operational Research, Elsevier, vol. 264(2), pages 707-716.
  17. Meucci, A. & Nicolosi, M., 2016. "Dynamic portfolio management with views at multiple horizons," Applied Mathematics and Computation, Elsevier, vol. 274(C), pages 495-518.
  18. Thomas Breuer & Martin Summer, 2018. "Systematic Systemic Stress Tests," Working Papers 225, Oesterreichische Nationalbank (Austrian Central Bank).
  19. Theophilos Papadimitriou & Periklis Gogas & Anna Agrapetidou, 2022. "The resilience of the U.S. banking system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2819-2835, July.
  20. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
  21. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
  22. Aikman, David & Angotti, Romain & Budnik, Katarzyna, 2024. "Stress testing with multiple scenarios: a tale on tails and reverse stress scenarios," Working Paper Series 2941, European Central Bank.
  23. De Genaro, Alan, 2016. "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 119-134.
  24. Shashwat Mishra & Rishabh Raj & Siddhartha P. Chakrabarty, 2023. "Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets," Papers 2305.16712, arXiv.org.
  25. Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
  26. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
  27. Pritsker, Matt, 2019. "An overview of regulatory stress-testing and steps to improve it," Global Finance Journal, Elsevier, vol. 39(C), pages 39-43.
  28. G. I. Papayiannis & A. N. Yannacopoulos, 2018. "Numerical computation of convex risk measures," Annals of Operations Research, Springer, vol. 260(1), pages 417-435, January.
  29. Mokinski, Frieder, 2017. "A severity function approach to scenario selection," Discussion Papers 34/2017, Deutsche Bundesbank.
  30. Park, Jangho & Bayraksan, Güzin, 2023. "A multistage distributionally robust optimization approach to water allocation under climate uncertainty," European Journal of Operational Research, Elsevier, vol. 306(2), pages 849-871.
  31. Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
  32. Rhys M. Bidder & Raffaella Giacomini & Andrew McKenna, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.
  33. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
  34. Aigner, Philipp, 2023. "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series 48/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  35. 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).
  36. Kroell, Emma & Pesenti, Silvana M. & Jaimungal, Sebastian, 2024. "Stressing dynamic loss models," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 56-78.
  37. Thomas Breuer & Martin Summer, 2013. "Stress Test Robustness: Recent Advances and Open Problems," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 74-86.
  38. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.
  39. Natalie Packham & Fabian Woebbeking, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," Papers 1807.11381, arXiv.org, revised Jan 2019.
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