Stress testing in non-normal markets via entropy pooling

The authors introduce a novel approach to stress testing portfolios of financial assets. The technique extends the parametric entropy pooling approach to skewed and thick-tailed markets. An illustration with a portfolio of European options is presented

Chaos Order


The combination of trading signals, or general views on the market, within a prior risk model to compute an optimal allocation that incorporates these views is one of the main challenges in quantitative portfolio construction. Similarly, embedding stress tests in a risk model in a statistically sound way is key to a healthy risk management process.

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a 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