Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments

Methods and Models of Market Risk Stress-Testing of the Portfolio of Financial Instruments

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Amid instability of financial markets and macroeconomic situation the necessity of improving bank risk-management instrument arises. New economic reality defines the need for searching for more advanced approaches of estimating banks vulnerability to exceptional, but plausible events. Stress-testing...

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Bibliographic Details
Main Authors: Alexander M. Karminsky, Ekaterina V. Seryakova
Format: Article
Language:English
Published: MGIMO University Press 2015-01-01
Series:Vestnik MGIMO-Universiteta
Subjects:
рыночный риск
портфельный риск
риск-менеджмент
стресс-тестирование
модели стресс-тестирования
банки
копулы
позиция под риском
market risk
portfolio risk
risk-management
stress-testing
stress-testing models
banks
copulas
value-at-risk
Online Access:http://www.vestnik.mgimo.ru/razdely/politologiya/metody-i-modeli-stress-testirovaniya-rynochnyh-riskov-portfelya-finansovyh

Internet

http://www.vestnik.mgimo.ru/razdely/politologiya/metody-i-modeli-stress-testirovaniya-rynochnyh-riskov-portfelya-finansovyh

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