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Parametric stress-testing in non-normal markets via entropy pooling
Auteur(s)
Meucci, Attilio
Date de parution
2015
In
Risk Magazine
No
June
De la page
1
A la page
5
Revu par les pairs
1
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.
Identifiants
Autre version
http://www.risk.net/risk-magazine/technical-paper/2410967/stress-testing-in-non-normal-markets-via-entropy-pooling
Type de publication
journal article
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