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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...