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Stress Testing Engineering: the real risk measurement?

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  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Bertrand Hassani

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Abstract

Stress testing is used to determine the stability or the resilience of a given financial institution by deliberately submitting. In this paper, we focus on what may lead a bank to fail and how its resilience can be measured. Two families of triggers are analysed: the first stands in the stands in the impact of external (and / or extreme) events, the second one stands on the impacts of the choice of inadequate models for predictions or risks measurement; more precisely on models becoming inadequate with time because of not being sufficiently flexible to adapt themselves to dynamical changes.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00951593.

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Date of creation: Feb 2014
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Handle: RePEc:hal:cesptp:halshs-00951593

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Keywords: Stress test; risk; VaR;

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References

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  1. Dominique Guegan & Pierre-André Maugis, 2010. "New Prospects on Vines," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00348884, HAL.
  2. Koehler, K. J. & Symanowski, J. T., 1995. "Constructing Multivariate Distributions with Specific Marginal Distributions," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 55(2), pages 261-282, November.
  3. Dominique Guegan & Bertrand Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00820839, HAL.
  4. Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00492124, HAL.
  5. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(3), pages 401-423, June.
  6. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1487-1503, July.
  7. Jeremy Berkowitz, 1999. "A coherent framework for stress-testing," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-29, Board of Governors of the Federal Reserve System (U.S.).
  8. Kjersti Aas & Daniel Berg, 2009. "Models for construction of multivariate dependence - a comparison study," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(7-8), pages 639-659.
  9. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  10. repec:hal:journl:halshs-00645799 is not listed on IDEAS
  11. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1443-1471, July.
  12. repec:hal:journl:halshs-00348884 is not listed on IDEAS
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Cited by:
  1. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-01020293, HAL.
  2. Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

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