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In fact, I think stress testing is a subtype of scenario analysis. Stress testing means you push one or all factors to their extreme level (an assuming scenario) and determine possible maximum loss that VAR (assumption about normal distribution) can't cover. Scenario analysis has a broader definition than that.
Edited 1 time(s). Last edit at Tuesday, May 17, 2011 at 01:40PM by best_seller249. |
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发表于 2011-7-11 19:25
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