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JohnLeM
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Posts: 515
Joined: September 16th, 2008, 7:15 pm

Stress, reverse stress and risk measures testings

September 5th, 2020, 3:36 pm

Hi,

I am releasing a draft paper on stress, reverse stress, and risk measure testing. The paper is produced by a jupyter notebook (thus reproducible and easily adaptable to other cases). We are thinking about open-sourcing our Machine Learning framework.

There are much more to write on this topic that what this paper present as data quality, time-dependent PnL functions, etc etc. This could lead us to a mid-term research project. However I was wondering if it is worthwhile to spend more time on this topic. If yes, what are the priority topics to look to ?

Any thoughts welcome !