2017
DOI: 10.1007/s11156-017-0655-8
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A macroeconomic reverse stress test

Abstract: Reproduction permitted only if source is stated.ISBN 978-3-95729-185-1 (Printversion) Non-technical summary Research QuestionIn response to the financial crisis [2007][2008][2009], regulatory authorities have strengthened the importance of stress test methodologies and particularly emphasized the role of reverse stress tests. Reverse stress tests look exactly for those scenarios which lead to a very unfavorable event for a bank, for example, an equity-exhausting loss, a non-fulfillment of the capital adequacy… Show more

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Cited by 11 publications
(19 citation statements)
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“…One further comparison is possible. We noted that some other authors have used very few Monte Carlo trials in their analyses ( [25,29], for example). Although their contexts were very different from ours, we can find what happens if we use a low number of Monte Carlo trials.…”
Section: Previous Resultsmentioning
confidence: 99%
See 1 more Smart Citation
“…One further comparison is possible. We noted that some other authors have used very few Monte Carlo trials in their analyses ( [25,29], for example). Although their contexts were very different from ours, we can find what happens if we use a low number of Monte Carlo trials.…”
Section: Previous Resultsmentioning
confidence: 99%
“…The study by Grundke [29] was similar to that of Albanese et al in that pre-determined scenarios were evaluated, and VaR was determined from them. The context was credit and interest rate risk measured through cash flows of assets and liabilities.…”
Section: Recent Advances In Reverse Stress Testingmentioning
confidence: 99%
“…(Response n. 23, p. 8). 45 It follows the same logic adopted in other works; in this regard, see Breuer et al (2009), Flood andKorenko (2015), Grundke and Pliszka (2018). 46 An alternative technique could be rank normalization, through which each risk factor value is replaced by its rank in that sample.…”
Section: Reverse Stress Test Scenario Selection: the Criterion Of Proximitymentioning
confidence: 95%
“…Glasserman et al (2015). 6 Along that research avenue are the works of: Grundke and Pliszka (2018), McNeil and Smith (2012).…”
mentioning
confidence: 99%
“…In a related context, Grundke & Pliszka (2018) show that heavy-tailed copulas (Clayton and t-copula) are more appropriate for fitting a stress test model to historical observations. the initial default probabilities can increase by +20% to +80% -depending on the selected stress test model.…”
mentioning
confidence: 99%