A triptych approach for reverse stress testing of complex portfolios

Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables


Pascal Traccucci, Luc Dumontier, Guillaume Garchery and Benjamin Jacot present an extended reverse stress test (ERST) triptych approach with three variables: level of plausibility, level of loss and scenario. Any two of these variables can be derived, provided the third is given as input. A new version of the Levenberg-Marquardt optimisation algorithm is introduced to derive the ERST in certain complex cases

Academic theory has been mined to support the development

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