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... |