Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43
reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We … propose a reverse stress test methodology based on a stochastic simulation optimization system. This methodology enables users … the bank’s default, thus detecting the set of assumptions that defines the reverse stress test scenario. This article …