英文标题：
《Generating VaR scenarios with product beta distributions》
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作者：
Dietmar Pfeifer and Olena Ragulina
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最新提交年份：
2019
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英文摘要：
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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中文摘要：
我们提出了一种蒙特卡罗模拟方法，根据观察到的数据，通过偿付能力II下的VaR情景生成依赖风险的压力测试。这对于委员会授权条例中制定的内部模型和评估流程要求的构建尤其重要。该方法基于以往关于单位copula划分的工作，但在对原始数据进行适当转换后，通过乘积beta分布直接估计联合密度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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