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Quantitative Finance · Glossário

O que é Reverse stress test?

Definition 22.7 Rates, Credit, XVA and Risk · Capítulo 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.

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