Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Bill Huajian Yang and Zunwei Du
| Year of publication: |
2015
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|---|---|
| Authors: | Yang, Bill Huajian ; Du, Zunwei |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 2, p. 33-47
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| Subject: | stress testing | systematic risk | asset correlation | rating migration | Vasieck model | bootstrap aggregation | Kreditrisiko | Credit risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Bootstrap-Verfahren | Bootstrap approach | Stresstest | Stress test | Kreditwürdigkeit | Credit rating | Bankrisiko | Bank risk | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Basler Akkord | Basel Accord |
| 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://ebvufind01.dmz1.zbw.eu/10011326309