Reverse stress testing approaches based on multivariate normality
Reverse stress testing is a way of finding a combination of market risk factors, called a scenario, that leads to a specific loss for e.g. a portfolio. A market risk factor can for example be a stock return. In this project, we use reverse stress tests to find a scenario that would make a clearing h...
| Main Author: | |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Umeå universitet, Institutionen för fysik
2018
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149486 |