Quantitative reverse stress testing, bottom up
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Publication:6101078
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- scientific article; zbMATH DE number 5589691
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Cites work
- A stochastic monetary policy interest rate model
- Coherent global market simulations and securitization measures for counterparty credit risk
- Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
- scientific article; zbMATH DE number 6127535 (Why is no real title available?)
- On Bayesian value at risk: from linear to non-linear portfolios
- Positive XVAs
- Pricing interest-rate-derivative securities
- XVA analysis from the balance sheet
Cited in
(8)- Reverse sensitivity testing: what does it take to break the model?
- A coherent aggregation framework for stress testing and scenario analysis
- scientific article; zbMATH DE number 5310108 (Why is no real title available?)
- A financially justifiable and practically implementable approach to coherent stress testing
- Reverse stress testing: Scenario design for macroprudential stress tests
- Derivatives risks as costs in a one-period network model
- Stressing dynamic loss models
- Handling model risk with XVAs
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