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The Point of Stress Testing and How to do it!

This is a summary of links to IP already on the asymptotix website (and my related blog on Analytic Bridge) alongside references to Revolutions, the world leading blog of material on R and REvolution Computing from David Smith at REvolution Computing. One or two of the older references are direct links to material in the public domain and may duplicate some of the summary references on the asymptotix site.

I have split the references between 3 domains;

1) Requirement Definition,

2) Predictive Techniques in R and

3) Solution Architecture considerations.

As a final piece I am adding a section on my current interest which is the integration of an external structural model (such as the European Commission DG ECFIN’s AMECO) with your own Stress Testing platform (probably implemented in the Factor Model & optimally implemented in REvolution R). You are then left with the question of ‘What is my data management platform?’

All of the references below are given as Hyperlinks to help you navigate around the content on this site in a structured way.

The final item on the list (in the Structural Models Integration section, which is by far the most difficult of an extremely stretching body of work, let’s face it) is a brand new toy for all you quants out there to play with!

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Tags: asymptotix


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