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Parametric stress-testing in non-normal markets via entropy pooling
Auteur(s)
Meucci, Attilio
Date Issued
2015
Journal
Risk Magazine
No
June
From page
1
To page
5
Reviewed by peer
1
Abstract
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.
Other version
http://www.risk.net/risk-magazine/technical-paper/2410967/stress-testing-in-non-normal-markets-via-entropy-pooling
Publication type
journal article
