Reverse Stress Testing for Multivariate Scenarios: A Conditional Framework for Stressed Time Series
多变量情景的反向压力测试:受压时间序列的条件框架
This paper develops a methodological framework for reverse stress testing (RST) in which a multivariate stress scenario, coherent with the empirical dependence structure of a market, is reconstructed from a single exogenous shock prescribed on one asset class. The problem is formulated as the maximisation of the conditional density given the imposed shock, and is solved under three progressively weaker distributional assumptions. In the parametric setting, joint Gaussianity…