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

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Keven Bluteau

Université de Sherbrooke - Faculty of Administration

Date Written: March 16, 2016

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).

Keywords: Fully flexible probabilities, GARCH, Stress-testing

JEL Classification: C1, G11

Suggested Citation

Ardia, David and Bluteau, Keven, Stress-Testing with Parametric Models and Fully Flexible Probabilities (March 16, 2016). Wilmott Magazine, Vol. 87, pp. 52-55, 2017 , Available at SSRN: https://ssrn.com/abstract=2748490 or http://dx.doi.org/10.2139/ssrn.2748490

David Ardia

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Keven Bluteau (Contact Author)

Université de Sherbrooke - Faculty of Administration ( email )

Sherbrooke, Québec J1K 2R1
Canada

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