We explore the question of optimal aggregation level for stress testing models when the stress test is specified in terms of aggregate macroeconomic variables, but the underlying performance data are ...

This is the second article in a three-part series focusing on conditions and volatility in energy and commodity markets. Given recent historic volatility and other macro and industry trends, having ...

Risk-management practices at financial institutions have undergone a quantitative revolution over the past decade or so. Increasingly, financial firms rely on statistical models to measure and manage ...

A financial risk expert, Mr. Titus Okwuchukwu Obiezue, has delivered a groundbreaking presentation on his Dynamic Stress Testing Model (DSTM) at the World Bank Group and International Monetary Fund ...