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Grey Swans: Fifty Shades of Grey - Plausible Stress Testing
parameterized family of enlargements fAtgt0 of A such that s > t implies As At A and (1 At) ! 0 as t ! 1 ... Fn(xn)); x 2 Rn; where copula density c(u) = @ n @u1@unC(u); u 2 [0; 1]n, i.e., fX is obtained by reweighting ...- Authors: Gary Nan Tie
- Date: Feb 2016
- Competency: Strategic Insight and Integration>Strategy development; Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Scenario generation