Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches
Stefan Huschens; Christoph Lehmann; Daniel Tillich
| Year of publication: |
2010
|
|---|---|
| Authors: | Huschens, Stefan ; Lehmann, Christoph ; Tillich, Daniel |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 4.2010/11, 1, p. 49-69
|
| Subject: | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection | Szenariotechnik | Scenario analysis |
| Extent: | graph. Darst. |
|---|---|
| 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/10003971975