The two defaults scenario for stressing credit portfolio loss distributions
Year of publication: |
March 2016
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Authors: | Tasche, Dirk |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 9.2016, 1, p. 1-18
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Subject: | CreditRisk+ | stress test | scenario analysis | joint default probability | Finanzdienstleistung | Financial services | Theorie | Theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Szenariotechnik | Scenario analysis | Insolvenz | Insolvency | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm9010001 [DOI] hdl:10419/178568 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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