A comparison of methodologies in the stress testing of credit risk : alternative scenario and dependency constructs
Michael Jacobs Jr. and Frank J. Sensenbrenner
| Year of publication: |
2018
|
|---|---|
| Authors: | Jacobs, Michael <Jr.> ; Sensenbrenner, Frank J. |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 2.2018, 2, p. 294-324
|
| Subject: | stress testing | CCAR | DFAST | credit risk | financial crisis | model risk | vector autoregression | Markov switching model | scenario generation | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Risikomanagement | Risk management | Markov-Kette | Markov chain | Stresstest | Stress test | Szenariotechnik | Scenario analysis | VAR-Modell | VAR model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2018.2.294 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012156630