The validation of machine-learning models for the stress testing of credit risk
Michael Jacobs, Jr.
| Year of publication: |
2018
|
|---|---|
| Authors: | Jacobs, Michael <Jr.> |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 11.2017/2018, 3, p. 218-243
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| Subject: | CCAR | DFAST | credit risk | financial crisis | model risk | model validation | multivariate adaptive regression splines | stress testing | vector autoregression | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Portfolio-Management | Portfolio selection | Stresstest | Stress test | Statistischer Test | Statistical test | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | VAR-Modell | VAR model | Bankrisiko | Bank risk | Regressionsanalyse | Regression analysis |
| 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/10011942534