... Interest rate risk Scenario analysis Principal component analysis G17 G22 G28 Enhancing the communication of risk measurement results to decision-makers is a major challenge for risk managers [1] . In terms of interest rate risks, scenarios concerning future yield curves can be used...

... in the Ukrainian crisis and it was shown that the financial impact could be substantial. Design/methodology/approach – Using scenario analysis, a risk measure of the sovereign’s debt – Conditional Debt-at-Risk – was developed, and an optimization model was then used to trade off expected cost of debt...