Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 27, 2010 erstellt
Description:
Stress tests with handpicked scenarios might misrepresent risks either because the scenarios considered are too implausible or because some dangerous scenarios are not considered. Systematic search for the worst case within some set of plausible scenarios is introduced to overcome these two pitfalls. For arbitrary loss functions we determine explicitly the worst case scenario over Kullback-Leibler spheres of plausible scenarios. Practical implementations of this method do not require any numerical optimisation. The method is illustrated in a number of example applications: linear and quadratic portfolios, stressed credit default probabilities, stressed rating transition correlations