Stress-testing with parametric models and Fully Flexible Probabilities
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
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Wilmott Magazine - 2017 - Ardia - Stress‐Testing With Parametric Models and Fully Flexible Probabilities.pdf
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Main Article
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23.28 MB
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