Dr. George Korenko Publishes Article on Stress Testing in Quantitative Finance

Aug 18, 2014

Dr. George Korenko, a partner at Edgeworth Economics, and co-author Mark Flood of the U.S. Department of the Treasury’s Office of Financial Research published an article, “Systematic scenario selection: stress testing and the nature of uncertainty,” in Quantitative Finance.

The authors present a methodology for systematically selecting scenarios (or shocks) for stress testing applications using a multidimensional set of risk factors. Their methodology enforces internal consistency among the shock dimensions by sampling points of selected severity from a plausible joint probability distribution.

Read the article “Systematic Scenario Selection: Stress testing and the nature of uncertainty.”



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