Some topics in correlation stress testing and multivariate volatility modeling

2014 ◽  
Author(s):  
Fo-chun Ng
Keyword(s):  
Stress Testing ◽  
Volatility Modeling ◽  
Multivariate Volatility

scholarly journals MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES

2012 ◽  
Vol 28 (5) ◽  
pp. 743-761 ◽  
Author(s):  
Luc Bauwens ◽  
Christian M. Hafner ◽  
Diane Pierret
Keyword(s):  
Volatility Modeling ◽  
Multivariate Volatility

A Novel Multivariate Volatility Modeling for Risk Management in Stock Markets

2017 ◽  
Vol 20 (1) ◽  
pp. 116-127
Author(s):  
Zi-Kai Wei ◽  
Ka-Fai Cedric Yiu ◽  
Heung Wong ◽  
Kit-Yan Chan
Keyword(s):  
Risk Management ◽  
Stock Markets ◽  
Volatility Modeling ◽  
Multivariate Volatility

Stress-testing Russian Banking System: Will Banks Need Government Assistance Again?

2010 ◽  
pp. 61-81 ◽  
Author(s):  
O. Solntsev ◽  
A. Pestova ◽  
M. Mamonov
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Stress Test ◽  
Banking System ◽  
Government Assistance ◽  
Methodological Issues ◽  
Loan Portfolio ◽  
Macroeconomic Indicators ◽  
Remote Stress ◽  
Capital Injections

The article analyzes factors that affect growth of the share of non-performing loans in the loan portfolio of Russian banks and proposes approaches for this share forecasting on the basis of dynamics of macroeconomic indicators. It also deals with methodological issues of remote stress-test of lending agencies. Using the results of conducted stress-test of Russian banks the authors assess their perspective capital needs in 2010 and estimate the share of government assistance in capital injections. Furthermore, the authors define the scale of vulnerable banks groups in the Russian banking sector.

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework
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