A factor-model approach for correlation scenarios and correlation stress testing
N. Packham, C. F. Woebbeking
| Year of publication: |
2019
|
|---|---|
| Authors: | Packham, Natalie ; Wöbbeking, Carl Fabian |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 101.2019, p. 92-103
|
| Subject: | "London Whale" | Correlation stress testing | Market risk | Scenario selection | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Szenariotechnik | Scenario analysis | Stresstest | Stress test | London | Kreditrisiko | Credit risk | Marktrisiko |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2019.01.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012162627