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UID:20250916T114818EDT-5034cBIz2G@132.216.98.100
DTSTAMP:20250916T154818Z
DESCRIPTION:Scenario Sets\, Risk Measures and Stress Testing.\n\nWe examine
  the relationship between multivariate scenarios sets and risk measures. O
 ur interest is motivated by the use of scenario sets in the stress testing
  of banks and insurance companies whose portfolio values and solvency are 
 dependent on changes in underlying financial risk factors. Although regula
 tors suggest that financial institutions should consider extreme but plaus
 ible scenarios\, there is no clear guidance on exactly how this should be 
 done. We explain the connection between sets based on the notion of half-s
 pace depth (HD) and the Value-at-Risk risk measure. We then introduce gene
 ral depth concepts related to coherent risk measures and show how these le
 ad to scenario sets based on\, for example\, the expectile or the expected
  shortfall risk measure. We consider the construction of multivariate scen
 ario sets and the implementation of stress tests in practice. In the case 
 of elliptically distributed risk factors\, all of the depth-based scenario
  sets coincide with regions encompassed by the contours of the density fun
 ction. Our particular interest lies in skewed and/or heavy-tailed multivar
 iate risk factor distributions\, where the equivalence of depth contours a
 nd density contours does not hold in general\; we present a number of exam
 ple to illustrate the issues that can arise.\n\n \n\n  \n
DTSTART:20171006T173000Z
DTEND:20171006T183000Z
LOCATION:1st floor\, CA\, HEC Montréal\, 3000\, chemin de la Côte-Sainte-Ca
 therine
SUMMARY:Alexander J. McNeil\, University of York
URL:/mathstat/channels/event/alexander-j-mcneil-univer
 sity-york-270703
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