A systematic approach to multi-period stress testing of portfolio credit risk
Author: | Thomas Breuer, Martin Jandačka, Javier Mencía, Martin Summer |
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DOI: | https://doi.org/10.1016/j.jbankfin.2011.07.009 |
ISSN: | 0378-4266 |
Parent Title (English): | Journal of Banking & Finance |
Document Type: | Article |
Language: | English |
Year of publication: | 2012 |
Release Date: | 2018/11/22 |
Tag: | Credit risk; Maximum loss; Stress testing; Worst case search |
Volume: | 36. Jg. |
Issue: | H. 2 |
First Page: | 332 |
Last Page: | 340 |
Organisationseinheit: | Technik / Department of Computer Science (Ende 2021 aufgelöst; Integration in die übergeordnete OE Technik) |
Forschung / Forschungszentrum Business Informatics | |
Technik / Technik | Engineering & Technology | |
Publicationlist: | Breuer, Thomas |