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

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Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches

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.

This talk is part of the Isaac Newton Institute Seminar Series series.

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