Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation
Bill Huajian Yang and Zunwei Du
| Year of publication: |
September 2016
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|---|---|
| Authors: | Yang, Bill Huajian ; Du, Zunwei |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 3, p. 1-19
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| Subject: | CCAR stress testing | multi-period scenario | loss projection | credit index | risk sensitivity | asset correlation | transition frequency | transition probability | through-the-cycle | maximum likelihood | Kreditrisiko | Credit risk | Bankrisiko | Bank risk | Stresstest | Stress test | Basler Akkord | Basel Accord | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Korrelation | Correlation | Kreditgeschäft | Bank lending |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2016.155 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011587660