Stress-Test Exercises and the Pricing of Very Long-Term Bonds
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess the impact of a modification of the whole distribution of asset prices' factors, rather than focusing as the common practices on...
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| Language: | ENG |
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Université Paris Dauphine - Paris IX
2013
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| Online Access: | http://tel.archives-ouvertes.fr/tel-00871760 http://tel.archives-ouvertes.fr/docs/00/87/17/60/PDF/Dubecq.pdf |