Stress Testing Engineering: the real risk measurement?

Dominique Guegan () and Bertrand K. Hassani ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan
Bertrand K. Hassani: Centre d'Economie de la Sorbonne et Grupo Santander

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: Stress testing is used to determine the stability or the resilience of a given financial institution by deliberately submitting. In this paper, we focus on what may lead a bank to fail and how its resilience can be measured. Two families of triggers are analysed: the first stands in the stands in the impact of external (and / or extreme) events, the second one stands on the impacts of the choice of inadequate models for predictions or risks measurement; more precisely on models becoming inadequate with time because of not being sufficiently flexible to adapt themselves to dynamical changes

Keywords: Stress test; Risk; VaR (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2014-02
New Economics Papers: this item is included in nep-ban and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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ftp://mse.univ-paris1.fr/pub/mse/CES2014/14006.pdf (application/pdf)

Related works:
Working Paper: Stress Testing Engineering: the real risk measurement? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:14006

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