Stress testing incorporating causal dependency [2]

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Bullet points include: Stress testing was included in AERM course Focus was on shift away from a purely probabilistic approach to risk management Partly because past not always a good guide to the future, so can be challenging to identify likelihood of a given scenario occurring I.e. we wanted an approach more robust to probability model error In this Session we will explore whether a stress-testing mind-set might also help us define probability models ‘more accurately’ and how we might include in risk management disciplines views about the causal links or dependencies, between possible events

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