Quantitative reverse stress testing, bottom up

DOI10.1080/14697688.2023.2187315zbMath1519.91233OpenAlexW4361196237MaRDI QIDQ6101078

Claudio Albanese, Unnamed Author, Stéphane Crépey

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2187315

zbMATH Keywords

model riskmodel validationcost of capital (KVA)PFEquantitative reverse stress testingtrading limits

Mathematics Subject Classification ID

Credit risk (91G40) Financial markets (91G15)

Related Items (1)

Derivatives risks as costs in a one-period network model

Cites Work

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• Positive XVAs
• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
• On Bayesian value at risk: from linear to non-linear portfolios
• Coherent global market simulations and securitization measures for counterparty credit risk
• XVA analysis from the balance sheet
• Pricing Interest-Rate-Derivative Securities

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