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Ardia, David
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Ardia, David
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Voici les éléments 1 - 2 sur 2
- PublicationAccès libreA Note on Jointly Backtesting Models for Multiple Assets and Horizons(2016-5)
; ;Guerrouaz, AnasHoogerheide, LennartWe propose a simulation-based methodology, which allows us to test the performance of multi-level and/or multi-horizon value-at-risk forecasts. - PublicationAccès libreMacroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling(2016)
; ;Guerrouaz, AnasRey, JeanneWe propose a methodology to perform macroeconomic stress-testing on the probability of default of a given borrowers’ population (i.e., aggregate probability of default) through simulation from a vector error correction model and entropy pooling (Meucci, 2008).