Stress Tests

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 6 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 33-34 from Springer

Abstract: Abstract The sensitivity measure we encountered in the previous chapter gives us price impacts of individual, small risk factor changes; it mainly provides comparability of exposures across risk factors. To gauge the impact of simultaneous and large changes to several risk factors at once, we reprice our positions under custom-made scenarios—this is called stress testing.

Date: 2018
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DOI: 10.1007/978-3-319-72320-4_6

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