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Stress Testing with Volatility-Weighted Historical Simulation: A Comparison of HS Methods

https://doi.org/10.2139/ssrn.1140719
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inferredcites →https://doi.org/10.1016/j.jbankfin.2005.04.013openalex-extracted
The hidden dangers of historical simulation
inferredcites →https://doi.org/10.1016/j.jimonfin.2005.05.004openalex-extracted
An evaluation framework for alternative VaR-models
inferredcites →https://doi.org/10.1108/13590790610641279openalex-extracted
The Ketan Parekh fraud and supervisory lapses of the Reserve Bank of India (RBI): a case study
inferredcites →https://doi.org/10.21314/jor.1998.001openalex-extracted
Incorporating volatility updating into the historical simulation method for value-at-risk
inferredcites →https://doi.org/10.2139/ssrn.1091462openalex-extracted
The Impact of Stress Scenarios on VaR and Expected Shortfall
inferredcites →https://doi.org/10.2139/ssrn.297083openalex-extracted
inferredcites →https://doi.org/10.28932/di.v9i2.969openalex-extracted
Judicial Review Towards Financial Status and Levies Management Mechanism of the Financial Services Authority (FSA) within the Republic of Indonesia's Financial System
inferredcites →https://doi.org/10.1002/9781118673485openalex-snapshot
Measuring Market Risk
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.08.009openalex-snapshot
The level and quality of Value-at-Risk disclosure by commercial banks
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