Deconstructing Systemic Risk: A Reverse Stress Testing Approach

Javier Ojea-Ferreiro ()
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Javier Ojea-Ferreiro: Joint Research Centre of the European Commission (JRC)
Authors registered in the RePEc Author Service: Javier Ojea Ferreiro

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 369-375 from Springer

Abstract: Abstract This chapter proposes a methodology based on a reverse stress test exercise to shed light on key questions related to systemic risk like the quantification of the losses in an adverse scenario, its probability of occurrence and the role of main contributors. We combine several measures implied by the Expected Shortfall to get time series and cross section information regarding systemic risk. We explore how these results could change depending on key parameters in a Gaussian framework.

Keywords: Systemic risk; Financial sector; Expected shortfall; Conditional measures (search for similar items in EconPapers)
Date: 2021
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Working Paper: Deconstructing systemic risk: A reverse stress testing approach (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_54

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DOI: 10.1007/978-3-030-78965-7_54

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