"Stress Test, Risk Management and Financial Steering" Chair

The "Stress Test, Risk management and Financial Steering" International Education and Research Chair was set up in October 2018 under a partnership between l’X, the École Polytechnique Foundation, and BNP Paribas. It aims to develop solutions in response to the expectations of banking regulators, against a backdrop of increasingly sophisticated stress tests in terms of methodology, and in preparation for future changes in regulation. Bank stress tests help evaluate how well a financial institution can endure a major shock or incident. Operating as a leading facility for technical topics related to stress tests, this Chair focuses on three areas of research: modeling using machine learning and simulations using advanced Monte Carlo methods; modeling of multidimensional dependencies; and uncertainty quantification for stress test models and metrics.