We present a technique for selecting multidimensional shock scenarios for use in financial stress testing. The methodology systematically enforces internal consistency among the shock dimensions by sampling points of arbitrary severity from a plausible joint probability distribution. The...

This paper investigates the intradaily operational efficiency of the U. S. foreign exchange market by conducting computer simulation experiments with market structure (the numbers of market?makers, brokers and customers). The results indicate significant operational inefficiencies which can be...