Résultat de la recherche
1 - 2 sur 2
Publication
Accès libre
A Note on Jointly Backtesting Models for Multiple Assets and Horizons
We propose a simulation-based methodology, which allows us to test the performance of multi-level and/or multi-horizon value-at-risk forecasts.
Publication
Accès libre
Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
We 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).