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Scenario Sets, Risk Measures and Stress Testing Part 2: Implementation

Date: 
Wednesday 26th November 2014 - 14:00 to 15:00
Venue: 
INI Seminar Room 2
Abstract: 
We consider the construction of multivariate scenario sets and the implementation of stress tests in practice. In the case of elliptically distributed risk factors, all of the depth-based scenario sets coincide with regions encompassed by the contours of the density function. The interest lies in skewed and/or heavy-tailed multivariate risk factor distributions, where the equivalence of depth contours and density contours does not hold in general. We analyse a number of example including generalized hyperbolic distributions and multivariate Bernoulli distributions. We also consider non-parametric estimation of scenario sets using empirical risk-factor change data.
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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons