Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress

By R. Rebonato. 2010

54 citations recorded by the source corpus.

Subfields: Analytical Chemistry, Biophysics, Electrical and Electronic Engineering

View Paper: https://www.semanticscholar.org/paper/de9fe5d14ba7a5fe09409cad92ea6bb29876e522

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Analytical Chemistry

1. Til Schuermann
2. Georg Mainik
3. Eric Schaanning

In Biophysics

1. Wanmo Kang
2. Til Schuermann
3. Georg Mainik
4. Eric Schaanning

In Electrical and Electronic Engineering

1. Til Schuermann
2. Georg Mainik
3. Eric Schaanning

Citations in the corpus

• Stress Testing Banks (2014, background): “More recently, Rebonato (2010) with his suggestively titled book Coherent Stress Testing (we return to the problem of coherence below), argues for a Bayesian approach to financial stress testing, i.e. one which is able to formally include expert knowledge in the stress testing design, with an…”
• On dependence consistency of CoVaR and some other systemic risk measures (2012, methodology): “Consistent choice of the corresponding weights can be derived by methods presented in [23].”
• Stress scenario selection by empirical likelihood (2015, background): “We explicitly characterize the impact of the heaviness of the tails of the distribution, contrasting a broad spectrum of cases including exponential tails and regularly varying tails.”