EDHEC: Robust Risk Estimation And Hedging: A Reverse Stress Testing Approach

Abstract

Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for dealing with tail risks. As a result, scenario-based portfolio stress testing is increasingly being promoted as central to the risk management process. A recent innovation in portfolio stress testing endorsed by regulators, called reverse stress testing, is intended to identify economic scenarios that will threaten a financial firm’s viability, but do so without injecting the manager’s cognitive

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a RiskTech Forum account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: