Stress-Testing Portfolio-Specific Risk

We establish a relationship between the idiosyncratic risk of portfolios and a parsimonious group of market variables. Because we are able to summarize idiosyncratic risk with this small group of variables, we are able to design stress-tests that describe portfolio-specific risks as market variables change. These stress tests provide portfolio managers with important information that cannot be gleaned from standard volatility forecasts

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Year of publication:	2019
Authors:	Fink, Jason
Other Persons:	Fink, Kristin (contributor) ; He, Hui (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Bankenaufsicht \| Banking supervision \| Finanzdienstleistung \| Financial services \| Finanzmarkt \| Financial market \| Bankgeschäft \| Banking services \| Zentralbank \| Central bank \| Risikomanagement \| Risk management \| Finanzsystem \| Financial system \| Bankrisiko \| Bank risk
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Investment Management (JOIM), Fourth Quarter 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2014 erstellt Volltext nicht verfügbar
Classification:	G00 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904887