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• W4387301836 abstract "Stylized facts about financial data comprise skewed and heavy-tailed (log-)returns. Therefore, we revisit previous results on reverse stress testing under elliptical models, and we extend them to the broader class of skew-elliptical models. In the elliptical case, an explicit formula for the solution is provided. In the skew-elliptical case, we characterize the solution in terms of an easy-to-implement numerical optimization problem. As specific examples, we investigate the classes of skew-normal and skew-t models in detail. Since the solutions depend on population parameters, which are often unknown in practice, we also tackle the statistical task of estimating these parameters and provide confidence regions for the most likely scenarios." @default.
• W4387301836 created "2023-10-04" @default.
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• W4387301836 date "2023-10-03" @default.
• W4387301836 modified "2023-10-12" @default.
• W4387301836 title "Reverse stress testing in skew-elliptical models" @default.
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• W4387301836 doi "https://doi.org/10.1090/tpms/1199" @default.
• W4387301836 hasPublicationYear "2023" @default.
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