(책 요약) Quantitative Finance with Python (Chapter 19 - Risk Management)

Extreme Loss, Stress Tests & Scenario Analysis

• Historical Stress: 과거 crash 재현
• Scenario Defined By Shocking Underlying Macro Variable
  • Oil price increases by 50%
  • A +3 standard deviation move in the EURUSD exchange rate
  • The VIX Index increases to 40
  • US Treasury Curve Steepens with Long End Yields Increasing by 100 bps
• Monte Carlo Simulation
• Out-of-sample (validation data) 로 VaR 을 계산한 뒤, threshold 로 설정한 값과 비슷한 값이 나오는지 확인하여, 유용성을 측정해볼수 있음.