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Stress Testing in a Value at Risk Framework · Study

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ArticleStress Testing in a Value at Risk Framework

Paul Kupiec1998

Article1998

Stress Testing in a Value at Risk Framework

161 citations·0/0 files stored·The Journal of Derivatives

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk Management in Financial Firms

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2001Analytical value-at-risk with jumps and credit risk 2008Developing a stress testing framework based on market risk models 2014Stress testing banks 2011The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes 2000A coherent framework for stress testing 2012Systematic stress tests with entropic plausibility constraints 2009How to Find Plausible, Severe and Useful Stress Scenarios 2002A guide to choosing absolute bank capital requirements

Details

Year1998

Typearticle

Published1998-08-31

VenueThe Journal of Derivatives

ISSN-L1074-1240

Languageen

Citations161

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.3905/jod.1998.408008

openalex_workW2726466593

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