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Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43

propose a reverse stress test methodology based on a stochastic simulation optimization system. This methodology enables users …

Persistent link: https://www.econbiz.de/10012322078

Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital …

Persistent link: https://www.econbiz.de/10011890804

Bank Stress Testing : A Stochastic Simulation Framework

Montesi, Giuseppe - 2015

We present a stochastic simulation forecasting model to stress-test banks' capital adequacy and to estimate probability …

Persistent link: https://www.econbiz.de/10013034691

A model of system-wide stress simulation : market-based finance and the Covid-19 event

Di Iasio, Giovanni; Alogoskoufis, Spyridon; Kördel, Simon - 2022

We build a model to simulate how the euro area market-based financial system may function under stress. The core of the model is a set of representative agents re ecting key economic sectors, which interact in asset, funding, and derivatives markets and face solvency and liquidity constraints on...

Persistent link: https://www.econbiz.de/10013265940

Stress-testing of liquidity risk in TARGET2

Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study having been conducted by an ad-hoc group composed of operators and overseers of TARGET2. The study aims to assess the resilience of the system, defined as the network of its...

Persistent link: https://www.econbiz.de/10011627053

Simulation-Based Stress Testing of Banks' Regulatory Capital Adequacy

Peura, Samu - 2018

testing.We present here a simulation-based approach to stress testing of capital adequacy where rating transitions are …

Persistent link: https://www.econbiz.de/10012933192

Montecarlo Simulation of Long‐Term Dependent Processes : A Primer

León, Carlos - 2012

applications of FBM simulation include market, credit and liquidity risk models, option valuation techniques, portfolio …

Persistent link: https://www.econbiz.de/10013104144

ROM simulation : applications to stress testing and VaR

Alexander, Carol; Ledermann, Daniel - 2012

Persistent link: https://www.econbiz.de/10009722161

Bank Stress Testing : A Stochastic Simulation Framework to Assess Banks’ Financial Fragility

Montesi, Giuseppe - 2018

We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy …

Persistent link: https://www.econbiz.de/10012936094

Consistent Spread Dynamics for CVA Risk Charge and Historical Value-at-Risk by Means of Cross Sectional / Consolidated Bucket Link Copula Simulation

Kjeldgaard, Christian Buch - 2021

good quality liquid bond/credit default swap (CDS) spread time series. The proposed method links copula simulation to the …-at-Risk (VaR) with historical simulation. The methodology center around buckets of similar spreads. Buckets with good data, are … result of the copula simulation is transformed into quantiles that are plugged into residual distributions from actual …

Persistent link: https://www.econbiz.de/10013219900