How can data science support model management? A reverse stress test illustration using the STAMP€ IT platform

ResearchPod

Financial stress testing generally involves a team of modellers working closely together, applying complex mathematical models to large and granular datasets. So, how can data science support the management of complex mathematical models, such as used in the financial sphere?
STAMP€ IT – a data-science platform developed by Dr Jerome Henry and his colleagues at the European Central Bank, can be used to manage models employed in the case at hand for financial stress testing.

Read the original research: doi.org/10.1007/978-3-031-09176-6_44
Read more background research: ecb.europa.eu/stampe201702.en.pdf

Handbook on financial stress testing: doi.org/10.1017/9781108903011

Guide on reverse stress testing: doi.org/10.1515/9783110647907
Disclaimer: The podcast builds on work by Jerome Henry that does not necessarily reflect the views of the ECB.