Stress scenario selection by empirical likelihood

DOI10.1080/14697688.2014.926019zbMath1398.62297OpenAlexW3123715300MaRDI QIDQ4682990

Paul Glasserman, Chulmin Kang, Wanmo Kang

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.926019

zbMATH Keywords

empirical likelihoodrisk managementstress scenarioreverse stress test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)

Related Items (7)

Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios ⋮ Reverse stress testing in skew-elliptical models ⋮ Reverse stress testing: Scenario design for macroprudential stress tests ⋮ Multivariate stress scenario selection in interbank networks ⋮ Stressing dynamic loss models ⋮ A financially justifiable and practically implementable approach to coherent stress testing ⋮ Scenario analysis for derivative portfolios via dynamic factor models

Cites Work

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• On the controversy over tailweight of distributions.
• Tail dependence for elliptically contoured distributions
• Jackknife empirical likelihood method for some risk measures and related quantities
• Operational Risk Management
• Heavy-Tail Phenomena

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