Hypothetical yield curve scenarios for credit stress testing
Bhavin Desai and Kausick Saha
| Year of publication: |
2020
|
|---|---|
| Authors: | Desai, Bhavin ; Saha, Kausick |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 8.2020, 3, p. 75-89
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| Subject: | central counterparty (CCP) stress testing | hypothetical stress scenarios | yield curve stress scenarios | generalized Pareto distribution | model risk | Zinsstruktur | Yield curve | Stresstest | Stress test | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Bankrisiko | Bank risk | Szenariotechnik | Scenario analysis | Prognoseverfahren | Forecasting model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2019.120 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012662479