Reverse Stress Test Optimization : A study on how to optimize an algorithm for reverse stress testing
In this thesis we investigate how to optimize an algorithm that determines a scenario multiplier for a reverse stress test with a method where predefined scenarios are scaled. The scenarios are composed by different risk factors that represents market events. A reverse stress test is used for risk e...
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| Format: | Others |
| Language: | English |
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Umeå universitet, Institutionen för fysik
2018
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-149178 |