Next Generation Balance Sheet Stress Testing

Next Generation Balance Sheet Stress Testing
This paper presents a "second-generation" solvency stress testing framework extending applied stress testing work centered on Cihák (2007). The framework seeks enriching stress tests in terms of risk-sensitivity, while keeping them flexible, transparent, and user-friendly. The main contributions include (a) increasing the risk-sensitivity of... READ MORE...

Publication date: April 2011
ISBN 9781455226054
$18.00

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