A coherent aggregation framework for stress testing and scenario analysis

DOI10.1080/1350486X.2010.491966MaRDI QIDQ3004480zbMATH OpenFDO

Authors J. Kwiatkowski, Riccardo Rebonato

Publication date 3 June 2011

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2010.491966

zbMATH Keywords

coherent probabilitieslinear programmingstress testing

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

Recommendations

• A financially justifiable and practically implementable approach to coherent stress testing
• Coherent measures of risk
• Quantitative reverse stress testing, bottom up
• Reverse stress testing: Scenario design for macroprudential stress tests
• Stress scenario selection by empirical likelihood

Cites work

• Assessing Scenario Probabilities Via Interactive Goal Programming
• scientific article; zbMATH DE number 1078379 (Why is no real title available?)
• scientific article; zbMATH DE number 2168557 (Why is no real title available?)
• Imperfect knowledge economics: Exchange rates and risk. Foreword by Edmund S. Phelps.

Cited in

(8)

• Coherent stress testing. A Bayesian approach to the analysis of financial stress
• Multivariate stress scenarios and solvency
• Stress scenario selection by empirical likelihood
• Systematic scenario selection: stress testing and the nature of uncertainty
• Financial statements-based bank risk aggregation
• A financially justifiable and practically implementable approach to coherent stress testing
• Stressing dynamic loss models
• Model uncertainty and scenario aggregation

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