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subject:"Kreditrisiko"
~isPartOf:"Journal of risk"
~person:"Formenti, Matteo"
~person:"Maciag, Jakob"
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Kreditrisiko
Credit risk
2
Financial services
2
Finanzdienstleistung
2
Risikomanagement
2
Risk management
2
Anderson-Darling (AD) test
1
Measurement
1
Messung
1
Multivariate Verteilung
1
Multivariate distribution
1
Portfolio selection
1
Portfolio-Management
1
Risiko
1
Risikomaß
1
Risk
1
Risk measure
1
Simulation
1
Statistical distribution
1
Statistical test
1
Statistische Verteilung
1
Statistischer Test
1
Theorie
1
Theory
1
backtesting
1
copula
1
counterparty credit risk (CCR)
1
estimation error
1
lower tail dependence
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risk aggregation
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risk measure
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simulation
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Formenti, Matteo
Maciag, Jakob
Baule, Rainer
1
Boeve, Rolf
1
Breton, Michèle
1
Castellanos, Jenny
1
Cocozza, Rosa
1
Constantinou, Nick
1
Curcio, Domenico
1
Fieberg, Christian
1
Gianfrancesco, Igor
1
Habahbeh, Lawrence
1
Hesse, Frederik
1
Hjelkrem, Lars Ole
1
Hofer, Markus
1
Jin, Faqi
1
Lange, Petter Eilif de
1
Li, Phillip
1
Marzouk, Oussama
1
Melsom, Borger
1
Mertens, Richard Lennart
1
Muromachi, Yukio
1
Pedescu, Mirela
1
Pfingsten, Andreas
1
Poddig, Thorsten
1
Ramponi, Fabio
1
Shi, Ming
1
Spadafora, Luca
1
Tanoue, Yuta
1
Terraneo, Marcello
1
Tian, Meiyu
1
Turnbull, Stuart M.
1
Vennerød, Christian Bakke
1
Wen, Fenghua
1
Westgaard, Sjur
1
Wilkens, Sascha
1
Wing Lon Ng
1
Yamashita, Satoshi
1
Yin, Wenjie
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Journal of risk
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ECONIS (ZBW)
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The efficiency of the Anderson-Darling test with a limited sample size : an application to backtesting counterparty credit risk internal models
Formenti, Matteo
;
Spadafora, Luca
;
Terraneo, Marcello
; …
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 69-100
Persistent link: https://www.econbiz.de/10012117481
Saved in:
2
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
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