On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
نویسندگان
چکیده
منابع مشابه
On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
We examine the problem of computing multivariate scenarios sets for skewed distributions. Our interest is motivated by the potential use of such sets in the stress testing of insurance companies and banks whose solvency is dependent on changes in a set of financial risk factors. We define multivariate scenario sets based on the notion of half-space depth (HD) and also introduce the notion of ex...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2016
ISSN: 0167-9473
DOI: 10.1016/j.csda.2014.06.024