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Confidence intervals for stress test predictions

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  • Kopeliovich, Yaacov
  • Shea, Kevin

Abstract

We obtain a formula that calculates confidence intervals for stress testing predictions. We show a numerical examples comparing the result of our formula with a hypothetical scenario bootstrap methodology.

Suggested Citation

  • Kopeliovich, Yaacov & Shea, Kevin, 2023. "Confidence intervals for stress test predictions," Finance Research Letters, Elsevier, vol. 55(PA).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002052
    DOI: 10.1016/j.frl.2023.103832
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    References listed on IDEAS

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    1. Simona Rasciute & Paul Downward & William H Greene, 2017. "Do Relational Goods Raise Well-Being? An Econometric Analysis," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(4), pages 563-579, September.
    2. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    3. ., 2017. "Econometric analysis: loopholes and shortcomings," Chapters, in: Econometrics as a Con Art, chapter 5, pages 88-105, Edward Elgar Publishing.
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    Keywords

    Stress Tests; Confidence Intervals;

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