Systematic stress tests with entropic plausibility constraints

Thomas Breuer; Imre Csiszár

Year of publication:	2013
Authors:	Breuer, Thomas ; Csiszár, Imre
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 5, p. 1552-1559
Subject:	Scenario analysis \| Worst case \| Risk measures \| Multiple priors \| Model risk \| Relative entropy \| Entropie \| Entropy \| Theorie \| Theory \| Risiko \| Risk \| Szenariotechnik \| Messung \| Measurement \| Risikomanagement \| Risk management \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection \| Bankrisiko \| Bank risk \| Kreditrisiko \| Credit risk \| Stresstest \| Stress test

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