Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Stress test?

Definition 22.1 Rates, Credit, XVA and Risk · Hoofdstuk 22 — Stress Testing and Scenarios

A stress test revalues a portfolio, or a whole firm, under a specified severe but plausible scenario of risk-factor moves, and reports the loss and its consequences (capital, liquidity, limits), without attaching a probability to the scenario.

Lees in het hoofdstuk →