combines economic forecasts and “expert” views with portfolio simulation methods.Expert scenarios are typically described in … the portfolio P&L, can be estimated directly from a pre-computed simulation using Least Squares Regressions (LSR). All the … Testing (LSST). LSST is a simulation-based conditional scenario generation method that offers many advantages over more …

-consuming simulations. These simulations often contain simulation-model errors in the output variables. In the construction of meta …-models, these errors are often ignored. Simulation-model errors may be magnified by the meta-model. Therefore, in this paper, we … study the construction of Kriging models that are robust with respect to simulation-model errors. We introduce a robustness …