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Stress Testing and Back Testing [32]

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Bullet points include: Breuer, T. (2009). If worst comes to worst: Systematic stress tests with discrete and other non-Normal distributions, Presentation to Quant Congress Europe, November 2009. Kemp, M.H.D. (2009). Market Consistency: Model Calibration in Imperfect Markets. John Wiley & Sons. Kemp M.H.D. (2009a). Var vs Tail VaR Mindsets. Presentation to Institute of Actuaries Open Forum on Capital Adequacy, March 2009. Kemp, M.H.D. (2010). Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails. John Wiley & Sons (forthcoming). Kemp M.H.D. (2010a). Blending together independent components and principal components analysis. www.nematrian.com/independentcomponentsanalysis.aspx. Kemp M.H.D. (2010b). Views on non-normal markets. www.nematrian.com/viewsonnonnormalmarkets.aspx

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