Systematic scenario selection: stress testing and the nature of uncertainty

DOI10.1080/14697688.2014.926018zbMath1398.91684OpenAlexW2093351163MaRDI QIDQ4682992

George G. Korenko, Mark D. Flood

Publication date: 19 September 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2014.926018

zbMATH Keywords

risk managementstress testingKnightian uncertaintyvalue at riskelliptical distributionmaximum portfolio loss

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios ⋮ Reverse stress testing: Scenario design for macroprudential stress tests ⋮ Scenario analysis for derivative portfolios via dynamic factor models

Uses Software

• Matlab

Cites Work

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