A NEW METHOD OF STRESS TESTING INVESTMENT PRODUCTS

Maria Beitz and Matthias Ehrhardt

Chapter 10 in The Risk of Investment Products:From Product Innovation to Risk Compliance, 2011, pp 225-240 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONBASICS OF RISK MANAGEMENTSTRESS TESTS: AN OVERVIEW OF TYPICAL METHODSMACROECONOMIC STRESS TESTSSHIFTING MIGRATION MATRICESSTRESS TESTS BY MEANS OF THE PEAKS-OVER-THRESHOLD METHODCONCLUSIONREFERENCES

Keywords: Risk Management; Financial Regulation; Financial Law; Asset Securitization; Complex Investment Products; Investment Advisory (search for similar items in EconPapers)
Date: 2011
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