Naoufal Nifa published a paper on scenario matching methods for credit-dependent stress testing.
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On October 27, 2026, Naoufal Nifa published a paper in the arXiv q-fin section, proposing a scenario matching method for credit-dependent stress testing, along with a reproducible Python code package. This method pairs 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 complete scenarios. This method is independent of scenario generators and can be used to test dependence assumptions in existing risk engines. The accompanying ZIP package contains Python code, synthetic scenario libraries, permutation schemes, and benchmark test content.
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- arXiv q-finNew arXiv Paper Proposes Scenario Matching Method for Credit Dependency Stress Testing, with Reproducible Python Code Package
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.
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