A Coherent Aggregation Framework for Stress Testing and Scenario Analysis
Year of publication: |
2011
|
---|---|
Authors: | Kwiatkowski, Jan ; Rebonato, Riccardo |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 18.2011, 2, p. 139-154
|
Publisher: |
Taylor & Francis Journals |
Subject: | Stress testing | linear programming | coherent probabilities |
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