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Stressing Simulation Models Through Scenario Weighting: the SWIM Approach
Stressing Simulation Models Through Scenario Weighting: the SWIM Approach
CERA Global Association
3 subscribers
uploaded November 22, 2023
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Speakers:Andreas Tsanakas
Description:
We have developed methods (and a free R package) for sensitivity analysis of simulation models that does not require re-running the models with different assumptions, but instead appropriately re-weights existing simulations. This allows more efficient and exhaustive sensitivity analysis e.g. of capital models.
Tags:ermrisk managementstress testingsimulationsensitivity analysis
Categories:AFIR / ERM / RISK