Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Michael Jacobs Jr., Ahmet K. Karagozoglu and Frank J. Sensenbrenner
| Year of publication: |
2015
|
|---|---|
| Authors: | Jacobs, Michael <Jr.> ; Karagozoglu, Ahmet K. ; Sensenbrenner, Frank J. |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 3, p. 41-70
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| Subject: | stress testing | model validation | model risk | credit risk | Bayesian analysis | CCAR | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Theorie | Theory | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | Stresstest | Stress test | Bankrisiko | Bank risk | Schätzung | Estimation | Basler Akkord | Basel Accord | Risikomanagement | Risk management |
| 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/10011410323