Parametric stress-testing in non-normal markets via entropy pooling
David Ardia & Attilio Meucci
| Résumé |
A novel approach for stress-testing (portfolios of) financial assets
is presented. The technique extends the parametric Entropy Pooling
approach to skewed and thick-tailed markets. The technique rests on
a copula-marginal decomposition for the entropy together with
several approximation schemes which renders the numerical
computations feasible for real-life problems. An illustration with
a portfolio of European options is presented. |
| Mots-clés |
Entropy Pooling, Kullback-Leibler, copula-marginal, stress-test, risk |
| Citation | Ardia, D., & Meucci, A. (2015). Parametric stress-testing in non-normal markets via entropy pooling. Risk Magazine, June, 1-5. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2015 |
| Nom du périodique | Risk Magazine |
| Volume | June |
| Pages | 1-5 |
| URL | http://www.risk.net/risk-magazine/technical-paper/2410967... |