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
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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
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