{"title":"具有参数模型和完全灵活概率的压力测试","authors":"David Ardia, Keven Bluteau","doi":"10.2139/ssrn.2748490","DOIUrl":null,"url":null,"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).","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"354 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Stress-Testing with Parametric Models and Fully Flexible Probabilities\",\"authors\":\"David Ardia, Keven Bluteau\",\"doi\":\"10.2139/ssrn.2748490\",\"DOIUrl\":null,\"url\":null,\"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).\",\"PeriodicalId\":364869,\"journal\":{\"name\":\"ERN: Simulation Methods (Topic)\",\"volume\":\"354 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-03-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Simulation Methods (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2748490\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Simulation Methods (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2748490","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Stress-Testing with Parametric Models and Fully Flexible Probabilities
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).
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
