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A systematic approach to multi-period stress testing of portfolio credit risk

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Metadaten
Author:Thomas Breuer, Martin Jandačka, Javier Mencía, Martin Summer
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
Forschung / Forschungszentrum Business Informatics
Publicationlist:Breuer, Thomas