Transcription of Developing a stress testing framework based on …
{{id}} {{{paragraph}}}
Example: stock market
Developing a stress testing framework based on …
Developing a stress testing framework based on market risk modelsqCarol Alexander, Elizabeth Sheedy*ICMA Centre, University of Reading, Box 242, Reading RG6 6BA, UKMacquarie Applied Finance Centre, Macquarie University, Sydney, AustraliaReceived 29 May 2007; accepted 31 December 2007 Available online 15 January 2008 AbstractThe Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and objective framework for stress testing port-folios exists. We propose a new methodology for stress testing in the context of market risk models that can incorporate both volatilityclustering and heavy tails.
Developing a stress testing framework based on market risk modelsq Carol Alexander, Elizabeth Sheedy* ICMA Centre, University of Reading, P.O. Box 242, Reading RG6 6BA, UK
Loading..
Tags:
Information
Domain:
Source:
Link to this page:
Please notify us if you found a problem with this document:
Related search queries
Backtesting Value-at-Risk Models, Backtesting, Committee on Banking Supervision, Committee on Banking Supervision . Consultative document, Risk models, Filtering Historical Simulation. Backtest Analysis, Models, Risk, Economic Capital versus Regulatory capital for, Ernst & Young approach, International Convergence of Capital Measurement and Capital Standards