Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults
Viani Biatat Djeundje, Jonathan Crook
| Year of publication: |
2023
|
|---|---|
| Authors: | Djeundje, Viani Biatat ; Crook, Jonathan N. |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 74.2023, 7, p. 1763-1774
|
| Subject: | Credit scoring | banks | model risk | risk capital | stress testing | Kreditrisiko | Credit risk | Bankrisiko | Bank risk | Risikomanagement | Risk management | Kreditwürdigkeit | Credit rating | Volatilität | Volatility | Stresstest | Stress test | Risiko | Risk | Kreditgeschäft | Bank lending | Schätzung | Estimation | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Messung | Measurement |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2022.2115413 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014336309