CUSUM for Detecting Small Persistent Shifts in a Process Mean
The CUmulative SUM (CUSUM) chart is a powerful sequential procedure rooted in statistical hypothesis testing. This document provides the theoretical formulation of the standard CUSUM, its parameters, and robust extensions necessary for application in heavy-tailed, non-stationary environments like market risk scoring.
A step-by-step algorithm and an illustrative example are included in CUSUM for Detecting Small Persistent Shifts in a Process Mean
Methods
Derivatives Markets
- Stock Options
Including Exotic Options - Interest Rate Derivatives
Short Rate Model - Credit Derivatives
structural Models and Reduced Models