Abdymomunov, Azamat; Blei, Sharon; Ergashev, Bakhodir - In: Journal of Financial Services Research 47 (2015) 1, pp. 57-79
We enhance the method of integrating scenarios proposed in Ergashev (J Financ Serv Res 41(3):145–161, 2012) into risk models. In particular, we provide additional theoretical insights of the method with focus on stress testing Value-at-Risk models. We extend the application of the method,...
