Parametric Stress-Testing in Non-Normal Markets via Copula-Marginal Entropy Pooling

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

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Year of publication:	2015
Authors:	Ardia, David ; Meucci, Attilio
Publisher:	[S.l.] : SSRN
Subject:	Entropie \| Entropy \| Theorie \| Theory

Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Risk Magazine, June 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 7, 2015 erstellt
Other identifiers:	10.2139/ssrn.2457459 [DOI]
Classification:	C1 - Econometric and Statistical Methods: General ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014144496