BEGIN:VCALENDAR
VERSION:2.0
PRODID:https://murmitoyen.com/events/vanille/udem/
X-WR-TIMEZONE:America/Montreal
BEGIN:VEVENT
UID:69d9f6be77e2b
DTSTAMP:20260411T032238
DTSTART:20171006T133000
SEQUENCE:0
TRANSP:OPAQUE
DTEND:20171006T143000
URL:https://murmitoyen.com/events/vanille/udem/detail/784837-scenario-sets-
 risk-measures-and-stress-testing
LOCATION:HEC Montréal\, 3000\, chemin de la Côte-Sainte-Catherine\, Montr
 éal\, QC\, Canada\, H3T 2A7
SUMMARY:Scenario Sets\, Risk Measures and Stress Testing
DESCRIPTION:Conférence d'Alexander J. McNeil\, University of York
\nWe exa
 mine the relationship between multivariate scenarios sets and risk measure
 s. Our interest is motivated by the use of scenario sets in the stress tes
 ting of banks and insurance companies whose portfolio values and solvency 
 are dependent on changes in underlying financial risk factors. Although re
 gulators suggest that financial institutions should consider extreme but p
 lausible scenarios\, there is no clear guidance on exactly how this should
  be done. We explain the connection between sets based on the notion of ha
 lf-space depth (HD) and the Value-at-Risk risk measure. We then introduce 
 general depth concepts related to coherent risk measures and show how thes
 e lead to scenario sets based on\, for example\, the expectile or the expe
 cted shortfall risk measure.
\nWe consider the construction of multivariat
 e scenario sets and the implementation of stress tests in practice. In the
  case of elliptically distributed risk factors\, all of the depth-based sc
 enario sets coincide with regions encompassed by the contours of the densi
 ty function. Our particular interest lies in skewed and/or heavy-tailed mu
 ltivariate risk factor distributions\, where the equivalence of depth cont
 ours and density contours does not hold in general\; we present a number o
 f example to illustrate the issues that can arise.
END:VEVENT
BEGIN:VTIMEZONE
TZID:America/Montreal
X-LIC-LOCATION:America/Montreal
END:VTIMEZONE
END:VCALENDAR