Technical paper/Stress-testing
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Cutting edge introduction
A popular copula
Stressed in Monte Carlo
Stressed in Monte Carlo
Reverse stress tests with bottom-up approaches
Research Papers
A regime-switching approach to model-based stress testing
Research Papers
Stress-testing German credit portfolios
Research Papers
Fully flexible views: theory and practice
Attilio Meucci proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the…
Correlation stress testing for value-at-risk
The correlation matrix is of vital importance for value-at-risk (VAR) modelsin the financial industry. Risk managers are often interested in stressing a subsetof market factors within large-scale risk systems containing hundreds ofmarket variables…