Stressed in Monte Carlo

Stressed in Monte Carlo

A stress test is an important tool for assessing risk in a portfolio. In this article, we consider a stress test implemented by an evaluation under stressed model parameters. These could stem from a calibration to stressed market data created by a historical simulation for value-at-risk (or some other risk measure), for instance.

Click on the link below to read the full version of this article.

Stressed in Monte Carlo

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: