Correlation scenarios and correlation stress testing
N. Packham, F. Woebbeking
| Year of publication: |
2023
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|---|---|
| Authors: | Packham, Natalie ; Wöbbeking, Carl Fabian |
| Published in: |
Journal of economic behavior & organization : JEBO. - Amsterdam [u.a.] : Elsevier, ISSN 0167-2681, ZDB-ID 864321-0. - Vol. 205.2023, p. 55-67
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| Subject: | Bayesian variable selection | Correlation stress testing | Factor selection | Market risk management | Reverse stress testing | Scenario selection | Korrelation | Correlation | Risikomanagement | Risk management | Stresstest | Stress test | Portfolio-Management | Portfolio selection | Bankrisiko | Bank risk | Marktrisiko | Market risk | Szenariotechnik | Scenario analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jebo.2022.11.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014416059