Selecting Stress Test Scenarios
Document ID: 2004-791 (previously 2004-002)
Published on: 31st March 2004
Author: Craig Turnbull, Steven Morrison, John Hibbert
Calculating an ICA requires a projection of market-consistent liability values. In theory this needs a nested simulation approach. In practice, a method of projecting a joint probability distribution of liability values in time using a non-simulation technique can be used. This note outlines a process that can be used to implement the former approach.
