Regress under stress : a simple least-squares method for integrating economic scenarios with risk simulations
Dan Rosen, David Sounders
| Year of publication: |
2016
|
|---|---|
| Authors: | Rosen, Dan ; Sounders, David |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 9.2016, 4, p. 391-412
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| Subject: | conditional simulation | linear regression | risk contributions | risk management | scenario generation | stress testing | Simulation | Risikomanagement | Risk management | Theorie | Theory | Risiko | Risk | Regressionsanalyse | Regression analysis | Szenariotechnik | Scenario analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011663120