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.


Cite this blog post
Arthur Charpentier (2010, March 26). Discussion on stress scenarios. Freakonometrics. Retrieved March 1, 2024, from https://doi.org/10.58079/oudj

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