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

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: A. M. Karminsky, E. V. Seryakova
Format: Article
Language:English
Published: MGIMO University Press 2015-08-01
Series:Vestnik MGIMO-Universiteta
Subjects:
market risk
portfolio risk
risk-management
stress-testing
stress-testing models
banks
copulas
value-at-risk
Online Access:https://www.vestnik.mgimo.ru/jour/article/view/401

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