As an important tool in financial risk management, stress testing aims to evaluate the stability of financial portfolios under some potential large shocks from extreme yet plausible scenarios of risk factors. The effectiveness of a stress test crucially depends on the choice of stress scenarios. In this paper we consider a pragmatic approach to stress scenario estimation that aims to address several practical challenges in the context of real life financial portfolios of currencies from a bank. Our method utilizes a flexible multivariate modelling framework based on vine copulas.

翻译：作为金融风险管理的重要工具，压力测试旨在评估金融投资组合在风险因素极端但可能情景下的潜在重大冲击中的稳定性。压力测试的有效性关键取决于压力情景的选择。本文提出了一种实用的压力情景估计方法，旨在解决银行货币类实际金融投资组合中的若干实践挑战。该方法采用了基于藤copula的灵活多变量建模框架。