Systematic multi-period stress scenarios with an application to CCP risk management
Alan De Genaro
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Genaro, Alan de |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 67.2016, p. 119-134
|
| Subject: | Stress scenarios | Central Counterparty | Monte Carlo simulation | Margin requirements | Maximum block-entropy | Risikomanagement | Risk management | Monte-Carlo-Simulation | Szenariotechnik | Scenario analysis | Derivat | Derivative | Simulation | Finanzmarktregulierung | Financial market regulation | Kreditrisiko | Credit risk | Stresstest | Stress test | Bankrisiko | Bank risk | Stress | Work stress |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.12.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634669