Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Reverse stress test?

Definition 22.7 Rates, Credit, XVA and Risk · Hoofdstuk 22 — Stress Testing and Scenarios

A reverse stress test starts from an outcome, a loss that would break a limit, the capital or the firm, and searches for the scenarios that produce it; its quantitative form finds the most plausible one, the move of smallest Mahalanobis distance x⊤Σ−1x\sqrt{x^\top\Sigma^{-1}x} with loss at least LL.

Lees in het hoofdstuk →