| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089452 | Journal of Banking & Finance | 2013 | 8 Pages |
Abstract
⺠Stress scenarios are required to be sufficiently plausible and as severe as possible. ⺠The sufficiently plausible scenarios are taken to be a relative entropy ball. ⺠Systematic stress tests search the worst among the sufficiently plausible scenarios. ⺠A Maximum Loss theorem gives the worst case scenario and the worst expected loss.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Thomas Breuer, Imre Csiszár,