Forums  > Risk Management  > Microfoundation Style Stress Testing  
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Total Posts: 12
Joined: Mar 2014
Posted: 2014-10-29 20:13

Any opinion, commentary, paper, book, etc. on stressing market factors through a microfoundated macro scenario? That is, design economic scenarios based, broadly speaking, in positive or negative macroeconomic situation, but taking into account micro-foundamental relationships between factors over time.

I've read about the EBA Stress test adverse scenario, but I think I would like to get a more general point of view, since I'm trying to design these scenarios for a EME Bank (from a country smaller than every BRIC).


Total Posts: 2
Joined: Oct 2015
Posted: 2015-10-22 12:27
Does any one know about cross gamma pnl ? what are the implications?


Total Posts: 1530
Joined: Apr 2004
Posted: 2015-11-12 14:50
Does any one know about cross gamma pnl ?

what are the implications?
implications for what?

"Deserve got nothing to do with it" - Clint
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