Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market

Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey

doi:10.1007/978-3-319-09946-0_4

Kirill Boldyrev⁴,
Dmitry Andrianov⁴ &
Sergey Ivliev⁴

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Abstract

Nowadays stress-testing is a popular framework for the analysis of the financial stability of different markets’ institutes and objects. This work proposes a new approach to trading book stress-testing by building price paths based on generalized autoregressive conditional the heteroskedasticity (GARCH) model with Pareto distribution for the random fluctuation of prices and t-copula for describing the dependency structure between factors.

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Authors and Affiliations

Department of Economics, Perm State National Research University, Perm, Russia
Kirill Boldyrev, Dmitry Andrianov & Sergey Ivliev

Authors

Kirill Boldyrev
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Dmitry Andrianov
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Sergey Ivliev
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Correspondence to Kirill Boldyrev .

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Editors and Affiliations

Department of Economics, University of Illinois, Urbana, Illinois, USA
Anil K. Bera
Perm State University, Perm, Russia
Sergey Ivliev
Scuola Normale Superiore, Pisa, Italy
Fabrizio Lillo

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Boldyrev, K., Andrianov, D., Ivliev, S. (2015). Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market. In: Bera, A., Ivliev, S., Lillo, F. (eds) Financial Econometrics and Empirical Market Microstructure. Springer, Cham. https://doi.org/10.1007/978-3-319-09946-0_4

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DOI: https://doi.org/10.1007/978-3-319-09946-0_4
Published: 01 November 2014
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-09945-3
Online ISBN: 978-3-319-09946-0
eBook Packages: Business and EconomicsEconomics and Finance (R0)

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