This paper develops methods for selecting and analyzing stress scenarios. We begin by focusing on reverse stress testing --- finding the most likely scenarios leading to losses exceeding a given threshold. We approach this problem using a nonparametric empirical likelihood estimator (in the sense of Owen (2001)) of the conditional mean of the un...
Creator:
Glasserman, Paul (Columbia University); Kang, Wanmo (Korea Advanced Institute of Science and Technology (KAIST))
Created:
2012-05-18
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.