Developing a stress testing framework based on market risk models

Journal of Banking and Finance

Volumn 32, Issue 10, 2008, Pages 2220-2236

  Alexander, Carol ^a,b   Sheedy, Elizabeth ^a,b  

^a UNIVERSITY OF READING   (United Kingdom)

^b MACQUARIE UNIVERSITY   (Australia)

Author keywords

Exchange rates; GARCH; Market risk; Stress testing; Value at Risk models

Indexed keywords

EID: 51349087307     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.041     Document Type: Article

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