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http://dx.doi.org/10.25673/101749
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DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Packham, Natalie | - |
dc.contributor.author | Wöbbeking, Carl Fabian | - |
dc.date.accessioned | 2023-04-06T06:56:22Z | - |
dc.date.available | 2023-04-06T06:56:22Z | - |
dc.date.issued | 2023 | - |
dc.identifier.uri | https://opendata.uni-halle.de//handle/1981185920/103696 | - |
dc.identifier.uri | http://dx.doi.org/10.25673/101749 | - |
dc.description.abstract | We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such as country and industry factors. A sparse factor structure linking assets and risk factors is built using Bayesian variable selection methods. Regular calibration yields a joint distribution of economically meaningful stress scenarios of the factors. As such, the method also lends itself as a reverse stress testing framework: using the Mahalanobis distance or Highest Density Regions (HDR) on the joint risk factor distribution allows to infer worst-case correlation scenarios. We give examples of stress tests on a large portfolio of European and North American stocks. | eng |
dc.language.iso | eng | - |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
dc.subject.ddc | 330 | - |
dc.title | Correlation scenarios and correlation stress testing | eng |
dc.type | Article | - |
local.versionType | publishedVersion | - |
local.bibliographicCitation.journaltitle | Journal of economic behavior & organization | - |
local.bibliographicCitation.volume | 205 | - |
local.bibliographicCitation.pagestart | 55 | - |
local.bibliographicCitation.pageend | 67 | - |
local.bibliographicCitation.publishername | Elsevier | - |
local.bibliographicCitation.publisherplace | Amsterdam [u.a.] | - |
local.bibliographicCitation.doi | 10.1016/j.jebo.2022.11.002 | - |
local.subject.keywords | Correlation stress testing, Reverse stress testing, Factor selection, Scenario selection, Bayesian variable selection, Market risk management | - |
local.openaccess | true | - |
dc.identifier.ppn | 1841828335 | - |
local.bibliographicCitation.year | 2023 | - |
cbs.sru.importDate | 2023-04-06T06:55:40Z | - |
local.bibliographicCitation | Enthalten in Journal of economic behavior & organization - Amsterdam [u.a.] : Elsevier, 1980 | - |
local.accessrights.dnb | free | - |
Enthalten in den Sammlungen: | Open Access Publikationen der MLU |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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1-s2.0-S0167268122004061-main.pdf | 3.76 MB | Adobe PDF | ![]() Öffnen/Anzeigen |