Conditional Simulation of Risk Factor Distributions for Stress Testing and Capital Allocation

We present a simple approach to create meaningful stress scenarios for risk management and investment analysis of multi-asset portfolios, which effectively combines economic forecasts and expert views with portfolio simulation methods. Examples from applications to portfolio credit risk management are presented.

Session

Capital Allocation

Date and Time

Mon, 05/27/2019 - 10:20 - Mon, 05/27/2019 - 10:50

Additional Authors and Speakers (not including you)

Dan Rosen

d1g1t Inc.

Language of Oral Presentation

English

Language of Visual Aids

English

Speaker

Edit	Name	Primary Affiliation
	David Saunders	University of Waterloo