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Developing a stress testing framework based on market risk models · Study

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ArticleDeveloping a stress testing framework based on market risk models

Carol Alexander2008

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Articlegreen2008

Developing a stress testing framework based on market risk models

Carol Alexander · Elizabeth A. Sheedy

145 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Banking stability, regulation, efficiency Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 2002Dynamic Conditional Correlation 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2011Quantitative Risk Management 2001Value at Risk 2006Risk management and financial institutions

Cited by

2012Quantile Uncertainty and Value‐at‐Risk Model Risk 2014A comparison of Expected Shortfall estimation models 2010Integrated models of capital adequacy – Why banks are undercapitalised 2012On downside risk predictability through liquidity and trading activity: A dynamic quantile approach 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests 2012Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy

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Details

Year2008

Typearticle

Published2008-01-16

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations145

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2007.12.041

openalex_workW2008644831

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2009A Framework for Assessing the Systemic Risk of Major Financial Institutions

2015Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates