We propose three methods to compute simulated stress scenarios as an extension to the Statpro historical-simulation framework. We provide pricing formulas for all methods: historically inspired, risk-driver based, and factor based.

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## Marco Marchioro

### Quantitative analyst, blockchain advisor, university lecturer, data scientist, QuantLib founder

# Computation of Stress Scenarios

We propose three methods to compute simulated stress scenarios as an extension to the Statpro historical-simulation framework. We provide pricing formulas for all methods: historically inspired, risk-driver based, and factor based.