How to find plausible, severe, and useful stress scenarios
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Abstract
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Other versions of this item:
- Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009. "How to Find Plausible, Severe and Useful Stress Scenarios," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 205-224, September.
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Keywords
Stress testing; maximum loss; risk management; banking regulation.;All these keywords.
JEL classification:
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2009-03-14 (Banking)
- NEP-REG-2009-03-14 (Regulation)
- NEP-RMG-2009-03-14 (Risk Management)
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