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SUMMARY:Scenario Sets\, Risk Measures and Stress Testing Part 2: Implement
 ation - McNeil\, A (Heriot-Watt University)
DTSTART:20141126T140000Z
DTEND:20141126T150000Z
UID:TALK56359@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We consider the construction of multivariate scenario sets and
  the implementation of stress tests in practice. In the case of elliptical
 ly distributed risk factors\, all of the depth-based scenario sets coincid
 e with regions encompassed by the contours of the density function. The in
 terest lies in skewed and/or heavy-tailed multivariate risk factor distrib
 utions\, 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 als
 o consider non-parametric estimation of scenario sets using empirical risk
 -factor change data.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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