• Portfolio Stress Testing Applied to Commodity Futures 

      Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, Margrethe Ringkjøb (Journal article; Peer reviewed, 2020)
      In this article, we construct a portfolio of commodity futures which mimics the Dow Jones Commodity Index and perform an extensive stress testing exercise with a focus on hybrid scenarios. The increased volume of investments ...
    • Portfolio Stress Testing Applied to Commodity Futures 

      Reese, Stine Marie; Skjelstad, Margrethe Ringkjøb (Master thesis, 2018)
      In this thesis, we construct a portfolio of commodity futures, which mimics the Dow Jones Commodity Index, and perform an extensive stress testing exercise with a focus on hybrid scenarios. Limitations to the risk management ...