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  4. Stress-testing with parametric models and Fully Flexible Probabilities

Stress-testing with parametric models and Fully Flexible Probabilities

Author(s)
Ardia, David  
Chaire de gestion des risques financiers  
Bluteau, Keven  
Chaire de gestion des risques financiers  
Date issued
January 2017
In
Wilmott Magazine
No
87
From page
52
To page
55
Reviewed by peer
1
Subjects
Fully flexible probabilities GARCH Stress-testing
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).
Publication type
journal article
Identifiers
https://libra.unine.ch/handle/20.500.14713/64295
DOI
10.1002/wilm.10565
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Wilmott Magazine - 2017 - Ardia - Stress‐Testing With Parametric Models and Fully Flexible Probabilities.pdf

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Main Article

Size

23.28 MB

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