Representative yield curve shocks and stress testing

Christophe Villa; Francis X. Diebold; Canlin Li; Christophe Pérignon

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Representative yield curve shocks and stress testing

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Christophe Villa

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Francis X. Diebold

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Canlin Li

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Christophe Pérignon

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Groupement de Recherche et d'Etudes en Gestion à HEC

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https://hal-audencia.archives-ouvertes.fr/hal-00797402

Submitted on : Wednesday, March 6, 2013-12:10:49 PM

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hal-00797402 , version 1 (06-03-2013)

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Christophe Villa, Francis X. Diebold, Canlin Li, Christophe Pérignon. Representative yield curve shocks and stress testing. Séminaire Finance University of Piraeus, May 2008, Athènes, Greece. ⟨hal-00797402⟩

Representative yield curve shocks and stress testing

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