Bangia, Anil; Diebold, Francis X.; Schuermann, Til - Financial Institutions Center, Wharton School of Business - 2000
The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading and lending books. We propose that underlying macroeconomic volatility is a key part of a useful conceptual framework for stress testing...