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Stress tests. From arts to science

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Metadaten
Author:Thomas Breuer, Imre Csiszar
DOI:https://doi.org/10.2139/ssrn.1328022
Document Type:Report
Language:English
Year of publication:2010
Release Date:2018/11/22
Tag:Levenberg-Marquardt algorithm; Model risk; Multiple priors; Relative entropy; Risk measures; Scenario analysis; Worst case; ambiguity aversion; maximum entropy principle
Organisationseinheit:Technik / Department of Computer Science
Forschung / Forschungszentrum Business Informatics
Publicationlist:Breuer, Thomas