Stress-testing with parametric models and Fully Flexible Probabilities
| Abstract |
We propose a simple methodology to simulate scenarios from a
parametric risk model while accounting for stress-test views via
fully flexible probabilities (Meucci, 2010, 2013). |
| Keywords |
Fully flexible probabilities, GARCH, Stress-testing |
| Citation | Ardia, D., & Bluteau, K. (2017). Stress-testing with parametric models and Fully Flexible Probabilities. Wilmott Magazine, 87, 52-55. |
| Type | Journal article (English) |
| Date of appearance | 1-2017 |
| Journal | Wilmott Magazine |
| Volume | 87 |
| Pages | 52-55 |
| URL | http://onlinelibrary.wiley.com/doi/10.1002/wilm.10565/full |