Stress Testing And Backtesting

Stress Testing and Back Testing [15]

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Bullet points include: VaR shareholder focused – indifferent to size of loss beyond bankruptcy. TVaR may be more customer focused, see e.g. Kemp (2009a). Probability density. Net assets at time horizon. Worst 5%. Average of worst 5%

Bullet points include: VaR shareholder focused – indifferent to size of loss beyond bankruptcy. TVaR may be more customer focused, see e.g. Kemp (2009a). Probability density. Net assets at time horizon. Worst 5%. Average of worst 5%

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