Questions tagged [stress-testing]

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Stress testing fixed income Yield curve with Nelson Siegel

I am attempting to stress test the Zero coupon Yield curve using The Nelson Siegel model as described in the following papers : Generating Yield Curve Stress-Scenarios Representative Yield Curve ...
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Stress testing by Banks

AFAIK typically banks stress test it trading portfolio by assuming stressed value of risk factors or by considering times series corresponding to some historical ...
Brian Smith's user avatar