arXiv q-fin· Naoufal Nifa·· 5 hr agoAI Score61
New arXiv Paper Proposes Scenario Matching Method for Credit Dependency Stress Testing, with Reproducible Python Code Package
Scenario Matching for Credit Dependence Stress Tests: Temporal correlation constraints and empirical risk bounds
AI summary
Naoufal Nifa released an arXiv paper proposing to pair two sets of simulated market paths and credit paths by minimizing the absolute time correlation error with preset targets, where each market path matches exactly one credit path while preserving the empirical distribution of the full scenario set.
Source:arXiv q-fin · arxiv.org