Media Stressing Simulation Models Through Scenario Weighting: the SWIM Approach

Stressing Simulation Models Through Scenario Weighting: the SWIM Approach

uploaded November 22, 2023 Views: 831 Comments: 0 Favorite: 2 CPD
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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.

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Categories: AFIR / ERM / RISK
Content groups:  content2023

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