Stress testing for VaR and CVaR

DOI10.1080/14697680600973323MaRDI QIDQ5423193zbMATH OpenOpenAlexFDO

Authors Jitka Dupačová, Jan Polívka

Publication date 22 October 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680600973323

zbMATH Keywords

asset liability modellingdynamic modelsfixed-income marketslinear programmingportfolio optimizationrisk managementStochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• A heuristic for moment-matching scenario generation
• Approximation Theorems of Mathematical Statistics
• Contributions to the theory of stochastic programming
• Dual Stochastic Dominance and Related Mean-Risk Models
• Generating scenario trees for multistage decision problems
• On differential stability in stochastic programming
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scenario-based stochastic programs: Resistance with respect to sample
• Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(17)

• Approximation and contamination bounds for probabilistic programs
• Robustness in stochastic programs with risk constraints
• Postoptimality for mean-risk stochastic mixed-integer programs and its application
• Robustness of stochastic programs with endogenous randomness via contamination
• Decision-based scenario clustering for decision-making under uncertainty
• Testing the structure of multistage stochastic programs
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
• Robustness of optimal portfolios under risk and stochastic dominance constraints
• Structure of risk-averse multistage stochastic programs
• Stress testing for risk-averse stochastic programs
• Local stability and differentiability of the mean-conditional value at risk model defined on the mixed-integer loss functions
• Combining Model and Test Data for Optimal Determination of Percentiles and Allowables: CVaR Regression Approach, Part II
• scientific article; zbMATH DE number 7387530 (Why is no real title available?)
• Stress testing correlation matrix: a maximum empirical likelihood approach
• scientific article; zbMATH DE number 5589691 (Why is no real title available?)
• Quantitative reverse stress testing, bottom up
• Computation of VaR for portfolios in intensity models

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