Take the 2-minute tour ×  I am interested in references on
research regarding the consistency of economic scenarios in
nested stochastics for risk measurement.     1. Pricing by
Monte-Carlo: For pricing complex derivatives Monte-Carlo
simulation is a well established method. It works by generating
iid samples of the underlying risk-factors, evaluating and
discounting the pay-off in each sample path and finally
calculating the average over all samples. The distribution used
for sampling is a "risk-neutral" distribution. The process of
deriving and calibrating those distributions is technically
difficult but well understood on a conceptual level.    2. Risk
Measurement There are several approaches to measuring the risk
of such a position. One approach, which is employed in an
insurance and banking regulation context, works by estimating
the distribution of position prices after a prescribed period
(such as one year for insurance) and applying a risk measure
such as Value at Risk to the resulting p&l, which is j