2 citations · 3 across the 3 of their papers we have counts for
Showing q-fin.RMShow all
2 papers · 1 filter
q-fin.RM2023
Risk factor aggregation and stress testing
Natalie Packham
Stress testing refers to the application of adverse financial or macroeconomic scenarios to a portfolio. For this purpose, financial or macroeconomic risk factors are linked with a…
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…