Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default
Zheqi Wang, Jonathan Crook, Galina Andreeva
| Year of publication: |
2020
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|---|---|
| Authors: | Wang, Zheqi ; Crook, Jonathan N. ; Andreeva, Galina |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 287.2020, 2 (1.12.), p. 725-738
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| Subject: | Bayesian posterior distribution approach | Estimation risk | OR in banking | Probability of default | Stress testing | Bayes-Statistik | Bayesian inference | Kreditrisiko | Credit risk | Hypothek | Mortgage | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Bankrisiko | Bank risk | Risikomaß | Risk measure | Schätzung | Estimation | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Stresstest | Stress test | Insolvenz | Insolvency | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.04.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012293945