A0483
Title: Stress scenario estimation with vine copulas
Authors: Natalia Nolde - The University of British Columbia (Canada) [presenting]
Abstract: As an important tool in financial risk management, stress testing aims to evaluate the stability of a financial system under some potential large shocks from extreme yet plausible scenarios of risk factors. The effectiveness of a stress test crucially depends on the choice of stress scenarios. A pragmatic approach is considered to stress scenario estimation that aims to address several practical challenges in the context of real-life financial portfolios of currencies from a bank. The method utilizes a flexible multivariate modelling framework based on vine copulas.
