Confidence intervals for stress test predictions

Yaacov Kopeliovich and Kevin Shea

Finance Research Letters, 2023, vol. 55, issue PA

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.

Keywords: Stress Tests; Confidence Intervals (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002052

DOI: 10.1016/j.frl.2023.103832

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