Systematic stress tests with entropic plausibility constraints
Author: | Thomas Breuer, Imre Csiszar |
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DOI: | https://doi.org/10.1016/j.jbankfin.2012.04.013 |
ISSN: | 0378-4266 |
Parent Title (English): | Journal of Banking & Finance |
Document Type: | Article |
Language: | English |
Year of publication: | 2013 |
Release Date: | 2018/11/22 |
Tag: | Model risk; Multiple priors; Relative entropy; Risk measures; Scenario analysis; Worst case |
Volume: | 37. Jg. |
Issue: | H. 5 |
First Page: | 1552 |
Last Page: | 1559 |
Organisationseinheit: | Forschung / Forschungszentrum Business Informatics |
Publicationlist: | Breuer, Thomas |