Essays about: "Copula Transformation"
Found 1 essay containing the words Copula Transformation.
1. Scenario Creation for Stress Testing Using Copula TransformationUniversity essay from Umeå universitet/Institutionen för fysik
Abstract : Due to turbulence in the financial market throughout history, stress testing has become a growing part of the risk analysis performed by clearing houses. Events connected to previous crises have increased the demand for prudent risk exposure, and in this thesis we investigate regulators view on how CCPs should construct risk scenarios to meet best practice for stress testing their members’ composite portfolios. READ MORE