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Incorporating correlation regimes in an integrated stressed risk modeling process

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  • José Aragonés
  • Carlos Blanco

Abstract

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Suggested Citation

  • José Aragonés & Carlos Blanco, 2008. "Incorporating correlation regimes in an integrated stressed risk modeling process," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(2), pages 148-157, April.
    • Handle: RePEc:spr:jecfin:v:32:y:2008:i:2:p:148-157
    DOI: 10.1007/s12197-007-9016-0
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    References listed on IDEAS

    as
    1. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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    Cited by:

    1. Rosella Giacometti & Domenico Mignacca, 2010. "Using the Black and Litterman framework for stress test analysis in asset management," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 286-297, October.

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    More about this item

    Keywords

    Stress test; Value at risk; Modeling process; Expected tail loss; Correlation breakdown; Market regimes; G10; G15;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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