Discussion on stress scenarios

Friday morning, I had the honor to discuss a presentation by Alexander McNeil, on Stress Testing and Reverse Stress Testing, at the Financial Risks International Forum on Risk Dependencies (here).

This was an opportunity to rediscover techniques I have studied briefly a few years ago, on outliers detection, namely the bagplot (I will probably upload a post on that topic soon, in French unfortunately). The slides of my discussion are available here.


OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (March 26, 2010). Discussion on stress scenarios. Freakonometrics. Retrieved July 12, 2024 from https://doi.org/10.58079/oudj

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