| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076794 | Insurance: Mathematics and Economics | 2012 | 10 Pages |
Abstract
⺠We show how to construct scenario sets for stress testing using half-space depth and provide examples. ⺠We introduce the idea of Least Solvent Likely Event (LSLE). ⺠We give a dual representation of Value-at-Risk as a stress test when it is subadditive on linear spaces of risk factors. ⺠We show how to construct convex scenario sets related to coherent risk measures. ⺠We show a way constructing reverse stress tests.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Alexander J. McNeil, Andrew D. Smith,