Concepedia

Stress Var

Stress VaR is a value-at-risk metric that quantifies potential losses in extreme but plausible market conditions by applying historical stress scenarios or hypothetical shocks to current positions, thereby extending standard VaR to account for tail risk under periods of significant market stress.

28

Publications

1.1K

Citations

51

Authors

38

Institutions

Publications per year

2017–2026

7

Variants

Stressed Value At RiskStressed Var

Parents

Publications

28

Financial stress and economic dynamics: The transmission of crises

Kirstin Hubrich, Robert Tetlow · Journal of Monetary Economics · 2014 · 238 citations

, , +17

Stress Tests of UK Banks Using a VAR Approach

Glenn Hoggarth, Steffen Sørensen, Lea Zicchino · SSRN Electronic Journal · 2005 · 138 citations · Full text

, , +17

Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area

Manfred Kremer · International Economics and Economic Policy · 2015 · 58 citations

, , +17

Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach

Anastasios Evgenidis · International Review of Financial Analysis · 2017 · 57 citations

, , +15

Pitfalls in backtesting Historical Simulation VaR models

Juan Carlos Escanciano · Journal of Banking & Finance · 2012 · 55 citations · Full text

, , +10

1–5 of 28

Authors

51

  1. RT
    Robert Tetlow

    Federal Reserve, United States

    3 publications · 310 citations

    3

    h-index

  2. KH
    Kirstin Hubrich

    Federal Reserve Board of Governors, United States

    3 publications · 310 citations

    3

    h-index

  3. MK
    Manfred Kremer

    European Central Bank, Germany

    2 publications · 68 citations

    2

    h-index

  4. LZ
    Lea Zicchino

    Prometeia (Italy), Italy

    2 publications · 154 citations

    2

    h-index

  5. GH
    Glenn Hoggarth

    Bank of England, United Kingdom

    2 publications · 154 citations

    2

    h-index

1–5 of 51

Institutions

38

  1. European Central Bank

    Frankfurt am Main, Germany

    4 h-index

    5 publications

    358 citations

  2. Federal Reserve

    Washington D.C., United States

    3 h-index

    4 publications

    340 citations

  3. Federal Reserve Board of Governors

    Washington D.C., United States

    3 h-index

    4 publications

    340 citations

  4. Central University of Finance and Economics

    Beijing, China

    2 h-index

    2 publications

    65 citations

  5. Chongqing Public Health Medical Center

    Chongqing, China

    1 h-index

    1 publications

    27 citations

  6. Universidad Carlos III de Madrid

    Madrid, Spain

    1 h-index

    1 publications

    10 citations

  7. Bank of England

    London, United Kingdom

    1 h-index

    1 publications

    138 citations

  8. New School

    New York, United States

    1 h-index

    1 publications

    30 citations

1–8 of 38

Venues

  1. SSRN Electronic Journal

    Repository · 6 publications · 243 citations

    6

    h-index

  2. 2

    h-index

  3. International Review of Financial Analysis

    IRFA · 2 publications · 84 citations

    2

    h-index

  4. Transnational Corporation Review

    TNCR · 1 publications · 25 citations

    1

    h-index

  5. Resources Policy

    1 publications · 43 citations

    1

    h-index

1–5