Stress-Testing with Parametric Models and Fully Flexible Probabilities
| Year of publication: |
2018
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|---|---|
| Authors: | Ardia, David |
| Other Persons: | Bluteau, Keven (contributor) |
| Publisher: |
[2018]: [S.l.] : SSRN |
| Subject: | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory |
| Description of contents: |
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)
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| Extent: | 1 Online-Ressource (7 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | In: Wilmott Magazine, Vol. 87, pp. 52-55, 2017 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 16, 2016 erstellt |
| Other identifiers: | 10.2139/ssrn.2748490 [DOI] |
| Classification: | C1 - Econometric and Statistical Methods: General ; G11 - Portfolio Choice |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012936365