Related papers: Analytical scores for stress scenarios
Credit risk stress testing has become an important risk management device which is used both by banks internally and by regulators. Stress testing is complex because it essentially means projecting a bank's full balance sheet conditional on…
In this paper, we present a methodology for measuring the impact of scenarios on the expected losses of exposures by leveraging the existing provisioning infrastructure within financial institutions, where scenario effects are captured…
Objective: A person's affective state has known relationships to physiological processes which can be measured by wearable sensors. However, while there are general trends those relationships can be person-specific. This work proposes using…
Since the Great Financial Crisis (GFC), the use of stress tests as a tool for assessing the resilience of financial institutions to adverse financial and economic developments has increased significantly. One key part in such exercises is…
The multivariate conditional probability distribution models the effects of a set of variables onto the statistical properties of another set of variables. In the study of systemic risk in a financial system, the multivariate conditional…
Value at Risk (VaR) and stress testing are two of the most widely used approaches in portfolio risk management to estimate potential market value losses under adverse market moves. VaR quantifies potential loss in value over a specified…
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…
Student mental health is an increasing concern in academic institutions, where stress can severely impact well-being and academic performance. Traditional assessment methods rely on subjective surveys and periodic evaluations, offering…
In this paper we present our ideas for conducting a cost benefit analysis by using three different methods: scenario analysis, decision trees and simulation. Then we introduce our case study and examine these methods in a real world…
The pairwise winning indices, computed in the Stochastic Multicriteria Acceptability Analysis, give the probability with which an alternative is preferred to another taking into account all the instances of the assumed preference model…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Risk scores are an interpretable and actionable class of machine learning models with applications in medicine, insurance, and risk management. Unlike most computational methods, risk scores are designed to be computed by a human by…
Stress testing refers to the application of adverse financial or macroeconomic scenarios to a portfolio. For this purpose, financial or macroeconomic risk factors are linked with asset returns, typically via a factor model. We expand the…
This paper introduces a new risk-on risk-off strategy for the stock market, which combines a financial stress indicator with a sentiment analysis done by ChatGPT reading and interpreting Bloomberg daily market summaries. Forecasts of market…
The most recent financial upheavals have cast doubt on the adequacy of some of the conventional quantitative risk management strategies, such as VaR (Value at Risk), in many common situations. Consequently, there has been an increasing need…
The paper presents a collection of analytical benchmark problems specifically selected to provide a set of stress tests for the assessment of multifidelity optimization methods. In addition, the paper discusses a comprehensive ensemble of…
Stress is a major threat to well-being that manifests in a variety of physiological and mental symptoms. Utilising speech samples collected while the subject is undergoing an induced stress episode has recently shown promising results for…
We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such…
This research explores the fusion of graphology and artificial intelligence to quantify psychological stress levels in students by analyzing their handwritten examination scripts. By leveraging Optical Character Recognition and transformer…