Generating Historically-Based Stress Scenarios Using Parsimonious Factorization
Alexander Bogin and
William Doerner
No 13-02, FHFA Staff Working Papers from Federal Housing Finance Agency
Abstract:
This paper describes an empirical approach to generate plausible, historically-based interest rate shocks, which can be applied to any market environment and can readily link to movements in other key risk factors. The approach is based upon yield curve parameterization and requires a parsimonious yet flexible factorization model.
Keywords: factorization; implied volatility; interest rates; market risk (search for similar items in EconPapers)
JEL-codes: G21 G28 G32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2013-10, Revised 2014-08
New Economics Papers: this item is included in nep-net and nep-rmg
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Citations: View citations in EconPapers (1)
Published in Journal of Risk Finance, 2014, volume 15, issue 5, pages 591-611
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https://www.fhfa.gov/sites/default/files/documents ... gPaper_13-2_N508.pdf (application/pdf)
https://www.fhfa.gov/research/papers/wp1302 (text/html)
Related works:
Journal Article: Generating historically-based stress scenarios using parsimonious factorization (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hfa:wpaper:13-02
DOI: 10.1108/JRF-03-2014-0036
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