Scenario analysis for derivative portfolios via dynamic factor models

MB Haugh, O Ruiz Lacedelli - Quantitative Finance, 2020 - Taylor & Francis
A classic approach to financial risk management is the use of scenario analysis to stress test
portfolios. In the case of an S&P 500 options portfolio, for example, a scenario analysis might …

A financially justifiable and practically implementable approach to coherent stress testing

R Rebonato - Quantitative Finance, 2019 - Taylor & Francis
We present an approach to stress testing that is both practically implementable and solidly
rooted in well-established financial theory. We present our results in a Bayesian-net context …

Stress Testing with Bayesian Nets and Related Techniques: Meeting the Engineering Challenges

R Rebonato - The Palgrave Handbook of Unconventional Risk …, 2017 - Springer
The chapter briefly reviews the case for stress-testing risk models and recognizes the
pressing 'engineering'problems that stand between the concept of stress testing and actually …

Severe but plausible–or not?

S Gavell, C Kulasekaran, M Kritzman - Journal of Risk, 2021 - papers.ssrn.com
In light of the Covid-19 crisis, the Federal Reserve (Fed) has carried out stress tests to
assess whether major banks have sufficient capital to ensure their viability should a new and …

The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy

R Rebonato - Journal of Risk, 2018 - papers.ssrn.com
We extend a technique devised by Saroka and Rebonato to “optimally” deform a yield curve
in order to deal with a common and practically relevant class of optimization problems …