Introduces a triptych ERST framework for deriving any two of plausibility, loss, and scenario from the third input, plus an updated Levenberg-Marquardt algorithm, for reverse stress testing of complex portfolios.
Quantifying Backtest Overfitting in Alternative Beta Strategies
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2019 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
A Triptych Approach for Reverse Stress Testing of Complex Portfolios
Introduces a triptych ERST framework for deriving any two of plausibility, loss, and scenario from the third input, plus an updated Levenberg-Marquardt algorithm, for reverse stress testing of complex portfolios.