Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Year of publication: |
2015
|
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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 | Finanzdienstleistung | Financial services | Kreditrisiko | Credit risk | Bayes-Statistik | Bayesian inference | Theorie | Theory | Portfolio-Management | Portfolio selection | Modellierung | Scientific modelling | Risikomanagement | Risk management | Bankrisiko | Bank risk | Prognoseverfahren | Forecasting model | Basler Akkord | Basel Accord |
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