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Register a new userGenerating VaR scenarios with product beta distributions
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Added by
Dietmar Pfeifer Prof. Dr.
Publication date
2018
fields
Financial
and research's language is
English
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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 Internal Models and requirements on evaluation processes formulated in the Commission Delegated Regulation. The approach is based on former work on partition-ofunity copulas, however with a direct scenario estimation of the joint density by product beta distributions after a suitable transformation of the original data.
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