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Satchkov, Daniel’ AUTHOR PAGE
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E-Mail: dsatchkov@rixtrema.com
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Affiliation: Rixtrema, Inc.
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Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach 2013
Schachter, Barry
Satchkov, Daniel
Novosyolov, Arcady
Kopeliovich, Yaacov
 
Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for dealing with tail risks. As a result, scenario-based portfol...
Portfolio Crash Testing: Making Sense of Extreme Event Exposures 2010
Satchkov, Daniel
Novosyolov, Arcady
 
This paper addresses some common misconceptions about stress testing and provides methodology for its incorporation into the risk process as a supplem...
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