Abstract:An optimal evaluation of the resilience in financial portfolios implies having initial hypotheses about the causal influence between the macroeconomic variables and the risk parameters. In this paper, we propose a graphical model for to infer the causal structure that links the multiple macroeconomic variables and the assessed risk parameters, Stress Testing Network, in which the relationships between the macroeconomic variables and the risk parameter define a "relational graph" among their time-series, where … Show more
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