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Stress-testing with parametric models and Fully Flexible Probabilities
Date de parution
2017-1
In
Wilmott Magazine
No
87
De la page
52
A la page
55
Revu par les pairs
1
Résumé
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).
Identifiants
Type de publication
journal article
