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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