George Korenko

U.S. Federal Housing Finance Agency

1700 G St., NW

Washington, DC 20006

United States

  • U.S. Federal Housing Finance Agency

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Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty

Quantitative Finance, 15(1), 2015, January, 43-59.
Number of pages: 48 Posted: 04 Sep 2008 Last Revised: 31 Jul 2015
Mark D. Flood and George Korenko
R. H. Smith School of Business, U. of Maryland and U.S. Federal Housing Finance Agency
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Abstract:

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quasi-Monte Carlo, risk management, stress testing, maximum portfolio loss, elliptical distribution, value at risk