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Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/74207
Description: The Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and objective framework for stress testing portfolios exists. We propose a new methodology for stress testing in t ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/83476
Description: Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfol ... More
Reviewed: Reviewed
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