Stress-Testing with Parametric Models and Fully Flexible Probabilities
Wilmott Magazine, Vol. 87, pp. 52-55, 2017
7 Pages Posted: 20 Mar 2016 Last revised: 3 Aug 2018
Date Written: March 16, 2016
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).
Keywords: Fully flexible probabilities, GARCH, Stress-testing
JEL Classification: C1, G11
Suggested Citation: Suggested Citation