风险因素汇总和压力测试

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-07-25 DOI:10.1080/14697688.2024.2377735

Natalie Packham

引用次数: 0

摘要

压力测试是指将不利的金融或宏观经济情景应用于投资组合。为此，将金融或宏观经济风险因素与资产回报、类型和风险程度联系起来。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Risk factor aggregation and stress testing

Stress testing refers to the application of adverse financial or macroeconomic scenarios to a portfolio. For this purpose, financial or macroeconomic risk factors are linked with asset returns, typ...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.