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Quantitative Finance · Glossário

O que é Stress test?

Definition 22.1 Rates, Credit, XVA and Risk · Capítulo 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.

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