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Tail fitting, quantile interpolation [20]

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Bullet points include: Can also use technique for interpolation rather than extrapolation. I.e. fit to a quantile within range of (simulated) observations, e.g. as part of an internal model, asset-liability modelling or other simulation exercise. Time to carry out a single simulation may be material, so any improvement in accuracy for the same number of simulations may be appealing. Test idea using a very simple simulation exercise. Target 99.5%ile (“1 in 200”). Exposure assumed to be driven by 5 independent normal factors, i.e. involve multivariate normal distribution and overall exposure deemed to be. So can solve analytically, but still try using quantile interpolation (assuming distribution is normal)

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