Shock on Variable or Shock on Distribution with Application to Stress-Tests
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- Simon Dubecq & Christian Gouriéroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers 2012-03, Center for Research in Economics and Statistics.
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- Darne, O. & Levy-Rueff, O. & Pop, A., 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
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KeywordsShock; Copula; Extreme Risk; Stress-Test; Factor Model; Systemic Risk; Portfolio Management; Sovereign Bonds.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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