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• W2474504348 abstract "This paper reviews recent advances made in improving the robustness of stress-testing models against potential misspecification or risk-factor-distribution misestimation, including conceptual advances in measuring robustness against pricing-model misspecification. In addition, we address an important open problem of stress tests as they are carried out today: the endogeneity of financial risks. Traditional stress-testing frameworks model a single-person decision problem in the face of an exogenous source of risk. Yet financial risks arise from the complex interaction between individuals, firms and financial institutions. A stress-testing framework that falls short of incorporating this risk endogeneity will ultimately only be able to capture the financial stress of individual institutions in a non-crisis environment." @default.
• W2474504348 created "2016-07-22" @default.
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• W2474504348 date "2013-01-01" @default.
• W2474504348 modified "2023-09-23" @default.
• W2474504348 title "s tress t est r obustness: r ecent Advances and open problems" @default.
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