13 citations · 14 across the 4 of their papers we have counts for
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q-fin.RM2021★ 1 cited
Correlation scenarios and correlation stress testing
N. Packham, F. Woebbeking
We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correl…
q-fin.RM2018★ 13 cited
A factor-model approach for correlation scenarios and correlation stress-testing
Natalie Packham, Fabian Woebbeking
In 2012, JPMorgan accumulated a USD~6.2 billion loss on a credit derivatives portfolio, the so-called `London Whale', partly as a consequence of de-correlations of non-perfectly co…