Reverse sensitivity testing : what does it take to break the model?
Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas
| Year of publication: |
2019
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|---|---|
| Authors: | Pesenti, Silvana M. ; Millossovich, Pietro ; Tsanakas, Andreas |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 274.2019, 2 (16.4.), p. 654-670
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| Subject: | Robustness and sensitivity analysis | Risk management | Value-at-Risk | Expected Shortfall | Stress testing | Risikomanagement | Risikomaß | Risk measure | Sensitivitätsanalyse | Sensitivity analysis | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.10.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990176