A new approach to assessing model risk in high dimensions
Carole Bernard, Steven Vanduffel
| Year of publication: |
September 2015
|
|---|---|
| Authors: | Bernard, Carole ; Vanduffel, Steven |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 166-178
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| Subject: | Model risk | VaR | Rearrangement Algorithm | Tail dependence | Outlier detection | Minimum variance portfolio | Credit risk management | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Modellierung | Scientific modelling | Statistische Verteilung | Statistical distribution | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.03.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011543968