Stress Testing as a Key Tool for Financial Assets Risk Management with Emphasis on Extreme Value Theory and Copula Functions

Stress testing is a simulation technique to evaluate portfolio reactions to several critical situations. In this paper, we review different stress testing methodologies to examine impacts of different stress scenarios on an Iranian equity portfolio. We identify the extreme tails of all risk factors...

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Главные авторы:	Alireza Saranj, Marziyeh Nourahmadi
Формат:	Artigo
Язык:	Persa
Опубликовано:	University of Isfahan 2018-09-01
Серии:	Journal of Asset Management and Financing
Предметы:	stress testing value at risk expected shortfall extreme value theory t copula kernel smoothed empirical distribution
Online-ссылка:	https://amf.ui.ac.ir/article_23037_433920eae88dcd476877ae2ec425fb8b.pdf
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