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1. Reverse Stress Test Optimization : A study on how to optimize an algorithm for reverse stress testing
Master-uppsats, Umeå universitet/Institutionen för fysikSammanfattning : In this thesis we investigate how to optimize an algorithm that determines a scenario multiplier for a reverse stress test with a method where predefined scenarios are scaled. The scenarios are composed by different risk factors that represents market events. LÄS MER
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