论文标题
压力场景的分析得分
Analytical scores for stress scenarios
论文作者
论文摘要
在这项工作的启发下，我们提出了两种方法，用于评分CCP用于尺寸尺寸默认资金的压力测试方案。风险管理者可以使用这些方法来比较不同的方案集，并且在评估将新方案添加到现有集合的相关性时可能特别有用。
In this work, inspired by the Archer-Mouy-Selmi approach, we present two methodologies for scoring the stress test scenarios used by CCPs for sizing their Default Funds. These methodologies can be used by risk managers to compare different sets of scenarios and could be particularly useful when evaluating the relevance of adding new scenarios to a pre-existing set.
