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Alexander Bogin, Senior Economist; William M. Doerner, Senior Economist
This paper describes an empirical approach to generate plausible, historically‐based interest rate shocks, which can be applied to any market environment and can readily link to movements in other key risk factors. The approach is based upon yield curve parameterization and requires a parsimonious yet flexible factorization model.
A revised version of this paper has undergone external peer-review and is published in an academic journal. Citation: Alexander N. Bogin, William M. Doerner. 2014. "Generating Historically-Based Stress Scenarios Using Parsimonious Factorization." Journal of Risk Finance, 15(5), 591-611. http://www.emeraldinsight.com/doi/abs/10.1108/JRF-03-2014-0036
The manuscript was selected as the Outstanding Paper of 2014 for the journal and it was the most downloaded article published that year. The research was also featured by the Global Association of Risk Professionals in a popular live
that had over 2,000 registrants from 500 companies and 60 countries (5 times the industry average). Additionally, Emerald has produced a short
video featuring the research.
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