A Quantitative Approach to Historical Stress Tests
The paper introduces a new method for defining historical stress tests in finance, classifying them into four types and using volatility as a key component in their definitions.
Featured in No. 11 on 9 Aug 2023 · 5 days after release · 0 citations today
- Released
- 4 Aug 2023
- First featured
- No. 11 · 9 Aug 2023
- Citations (Semantic Scholar)
- 0
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- 0
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- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4531808
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