Reverse stress testing: Scenario design for macroprudential stress tests

DOI10.1111/mafi.12373zbMath1522.91296OpenAlexW4319299014MaRDI QIDQ6054451

Michel Baes, Eric Schaanning

Publication date: 28 September 2023

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

Full work available at URL: https://doi.org/10.1111/mafi.12373

zbMATH Keywords

contagionstress testingsystemic riskfinancial stabilityfire salesreverse stress testingoptimal deleveragingstress scenario design

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items

Multivariate stress scenario selection in interbank networks

Cites Work

• Overlapping portfolios, contagion, and financial stability
• Financial contagion and asset liquidation strategies
• Strategic fire-sales and price-mediated contagion in the banking system
• Uniqueness of equilibrium in a payment system with liquidation costs
• A repo model of fire sales with VWAP and LOB pricing mechanisms
• Price mediated contagion through capital ratio requirements with VWAP liquidation prices
• The topology of overlapping portfolio networks
• No-dynamic-arbitrage and market impact
• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
• Stress scenario selection by empirical likelihood
• Systematic scenario selection: stress testing and the nature of uncertainty
• Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*
• Price Manipulation and Quasi-Arbitrage
• Convex Analysis
• Combinatorial optimization. Theory and algorithms.