Incorporating correlation regimes in an integrated stressed risk modeling process
| Year of publication: |
2008
|
|---|---|
| Authors: | Aragonés, José ; Blanco, Carlos |
| Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 32.2008, 2, p. 148-157
|
| Publisher: |
Springer |
| Subject: | Stress test | Value at risk | Modeling process | Expected tail loss | Correlation breakdown | Market regimes |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005598046