In this master thesis I aim to present part of the work that I have done as a Quantitative Risk Analyst Intern for the Model Validation Team at Eurex Clearing AG, part of Deutsche Börse Group. Specifically, I will demonstrate my final project, related to the implementation of two new examinations for Credit Stress Testing model validation. Both of the examinations focus on the plausibility of the hypothetical scenarios adopted by Eurex Clearing AG. In this work I will show how to model market data using the Mahalanobis distance and Meta-elliptical Student-t distribution to achieve quantitative conclusions about the quality of the mentioned scenarios.
In this master thesis I aim to present part of the work that I have done as a Quantitative Risk Analyst Intern for the Model Validation Team at Eurex Clearing AG, part of Deutsche Börse Group. Specifically, I will demonstrate my final project, related to the implementation of two new examinations for Credit Stress Testing model validation. Both of the examinations focus on the plausibility of the hypothetical scenarios adopted by Eurex Clearing AG. In this work I will show how to model market data using the Mahalanobis distance and Meta-elliptical Student-t distribution to achieve quantitative conclusions about the quality of the mentioned scenarios.
Plausibility study on Hypothetical market scenarios for Clearinghouses
AGOSTI, LUCA
2022/2023
Abstract
In this master thesis I aim to present part of the work that I have done as a Quantitative Risk Analyst Intern for the Model Validation Team at Eurex Clearing AG, part of Deutsche Börse Group. Specifically, I will demonstrate my final project, related to the implementation of two new examinations for Credit Stress Testing model validation. Both of the examinations focus on the plausibility of the hypothetical scenarios adopted by Eurex Clearing AG. In this work I will show how to model market data using the Mahalanobis distance and Meta-elliptical Student-t distribution to achieve quantitative conclusions about the quality of the mentioned scenarios.File | Dimensione | Formato | |
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https://hdl.handle.net/20.500.12608/54836