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
Date and Time
-
Langue de la présentation orale
Anglais
Langue des supports visuels
Anglais