Reverse stress testing: Identifying weaknesses to prevent failures
This dissertation uses a methodology for attributing a stock portfolio most likely negative scenarios given a pre-defined loss. Using an extensive dataset spanning from 2007 through 2019, we calculated stock returns and their sample covariance matrix is estimated to obtain the portfolio Value at Ris...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2020
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| Texto completo: | http://hdl.handle.net/10071/22236 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/22236 |