Stress testing for VaR and CVaR

References

• Acerbi , C and Tasche , D . 2002 . On the coherence of expected Shortfall . J. Bank. Finan. , 26 : 1487 – 1503 .
   Web of Science ®Google Scholar
• Andersson , F , Mausser , H , Rosen , D and Uryasev , S . 2001 . Credit risk optimization with Conditional Value-at-Risk criterion . Math. Program. , B89 : 273 – 291 .
   Google Scholar
• Bank , B , Guddat , J , Klatte , D , Kummer , B and Tammer , K . 1982 . Non-Linear Parametric Optimization , Berlin : Akademie .
   Google Scholar
• Danskin , JM . 1967 . Theory of Max–Min, Econometrics and Operations Research , Vol. 5 , Berlin : Springer .
   Google Scholar
• Dempster , MAH . 2002 . Risk Management: Value at Risk and Beyond , Cambridge : Cambridge University Press .
   Google Scholar
• Dobiáš , P . 2003 . Stability in stochastic programming with applications to risk management , Prague : PhD thesis, Faculty of Mathematics and Physics, Charles University .
   Google Scholar
• Dupačová , J . 1986 . Stability in stochastic programming with recourse—contaminated distributions . Math. Prog. Study , 27 : 133 – 144 .
   Google Scholar
• Dupačová , J . 1987 . Stochastic programming with incomplete information: a survey of results on postoptimization and sensitivity analysis. . Optimization , 18 : 507 – 532 .
   Google Scholar
• Dupačová , J . 1996 . Scenario based stochastic programs: resistance with respect to sample . Ann. Oper. Res , 64 : 21 – 38 .
   Google Scholar
• Dupačová , J . 2006 . “ Stress testing via contamination ” . In Proceedings of the Workshop on Coping with Uncertainty, Modeling and Policy Issues , Edited by: Marti , K . 29 – 46 . Berlin : Springer .
   Google Scholar
• Dupačová , J , Bertocchi , M and Moriggia , V . 1998 . “ Postoptimality for scenario based financial models with an application to bond portfolio management ” . In World Wide Asset and Liability Modeling , Edited by: Ziemba , WT and Mulvey , J . 263 – 285 . Cambridge : Cambridge University Press .
   Google Scholar
• El Ghaoui , L , Oks , M and Oustry , F . 2003 . Worst-case value-at-risk and robust portfolio optimization: a conic programming approach . Oper. Res. , 51 : 543 – 556 .
   Web of Science ®Google Scholar
• Embrechts , P , McNeil , AJ and Straumann , D . 2002 . “ Correlation and dependence in risk management: properties and pitfalls ” . In Risk Management: Value at Risk and Beyond , Edited by: Dempster , MAH . 176 – 223 . Cambridge : Cambridge University Press .
   Google Scholar
• Gaivoronski , AA and Pflug , G . 2004 . Value at Risk in portfolio optimization . J. Risk , to appear.
   Google Scholar
• Guddat , J , Guerra Vasquez , F , Tammer , K and Wendler , K . 1985 . Multiobjective and Stochastic Optimization Based on Parametric Optimization , Berlin : Akademie .
   Google Scholar
• Høyland , K , Kaut , M and Wallace , SW . 2003 . A heuristic for moment-matching scenario generation . Comput. Optim. Applic. , 24 : 169 – 185 .
   Web of Science ®Google Scholar
• Høyland , K and Wallace , SW . 2001 . Generating scenario trees for multistage decision problems . Mgmt Sci. , 47 : 295 – 307 .
   Web of Science ®Google Scholar
• Kaut , M , Vladimirou , H , Wallace , S.W and Zenios , SA . 2003 . Stability analysis of a portfolio management model based on the conditional value-at-risk measure , submitted
   Google Scholar
• Klein Haneweld , WK . 1986 . Duality in Stochastic Linear and Dynamic Programming , Vol. LNEMS 274 , Berlin : Springer .
   Google Scholar
• Kupiec , P . 2002 . “ Stress testing in a Value at Risk framework ” . In Risk Management: Value at Risk and Beyond , Edited by: Dempster , MAH . 76 – 99 . Cambridge : Cambridge University Press .
   Google Scholar
• Ogryczak , W and Ruszczyński , A . 2002 . Dual stochastic dominance and related mean-risk models . SIAM J. Optim. , 13 : 60 – 78 .
   Web of Science ®Google Scholar
• Pflug , G.Ch . 2001 . “ Some remarks on the value-at-risk and the conditional value-at-risk ” . In Probabilistic Constrained Optimization, Methodology and Applications , Edited by: Uryasev , S . 272 – 281 . Dordrecht : Kluwer Academic .
   Google Scholar
• Polívka , J . 2005 . ALM via stochastic programming , Prague : PhD thesis, Faculty of Mathematics and Physics, Charles University .
   Google Scholar
• Prékopa , A . 1973 . Contributions to the theory of stochastic programming . Math. Program , 4 : 202 – 221 .
   Google Scholar
• Rachev , S and Mittnik , S . 2000 . Stable Paretian Models in Finance , Chichester : Wiley .
   Google Scholar
• Rau-Bredow , H . 2004 . “ Value-at-risk, expected shortfall and marginal risk contribution ” . In Risk Measures for the 21st Century , Edited by: Szegö , G . 61 – 68 . Chichester : Wiley .
   Google Scholar
• Rockafellar , R.T and Uryasev , S . 2000 . Optimization of conditional value-at-risk . J. Risk , 2 : 21 – 41 .
   Google Scholar
• Rockafellar , RT and Uryasev , S . 2001 . Conditional value-at-risk for general loss distributions . J. Bank. Finan. , 26 : 1443 – 1471 .
   Google Scholar
• Römisch , W . 2003 . “ Stability of stochastic programming problems ” . In Handbook on Stochastic Programming , Edited by: Ruszczynski , A and Shapiro , A . 483 – 554 . Amsterdam : Elsevier .
   Google Scholar
• Ruszczyński , A and Vanderbei , RJ . 2003 . Frontiers of stochastically nondominated portfolios . Econometrica , 71 : 1287 – 1297 .
   Web of Science ®Google Scholar
• Serfling , R.J . 1980 . Approximation Theorems of Mathematical Statistics , New York : Wiley .
   Google Scholar
• Shapiro , A . 1990 . On differential stability in stochastic programming . Math. Program. , 47 : 107 – 116 .
   Google Scholar
• Topaloglou , N , Vladimirou , H and Zenios , SA . 2002 . CVaR models with selective hedging for international asset allocation . J. Bank. Finan. , 26 : 1535 – 1561 .
   Web of Science ®Google Scholar