A theory of multivariate stress testing
Pietro Millossovich, Andreas Tsanakas, Ruodu Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Millossovich, Pietro ; Tsanakas, Andreas ; Wang, Ruodu |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 318.2024, 3 (1.11.), p. 851-866
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| Subject: | Dependence | Probability distortion | Risk measure | Sensitivity analysis | Stress testing | Systemic risk | Risikomaß | Systemrisiko | Stresstest | Stress test | Messung | Measurement | Risikomanagement | Risk management | Risiko | Risk | Theorie | Theory | Bankrisiko | Bank risk | Sensitivitätsanalyse | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2024.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015048176