Generating VaR Scenarios under Solvency II with Product Beta Distributions
Sign Up to like & getrecommendations! Published in 2018 at "Risks"
DOI: 10.3390/risks6040122
Abstract: We propose a Monte Carlo simulation method to generate stress tests by VaR scenarios under Solvency II for dependent risks on the basis of observed data. This is of particular interest for the construction of… read more here.
Keywords: product beta; scenarios solvency; var scenarios; beta distributions ... See more keywords