Scenarios are the language of Risk. While scenario analysis and stress testing have been an explicit part of risk management methodologies and systems for over two decades, the typical scenario and stress testing tools haven't evolved much and are still generally quite static and largely...

Risk management has undergone a remarkable transformation over the past fifteen years, with most new methods having been designed for the concerns of large institutions operating in well-developed financial markets. This paper addresses a problem faced by smaller institutions operating in...