Validation of default probability models : a stress testing approach
Fábio Yasuhiro Tsukahara, Herbert Kimura, Vinicius Amorim Sobreiro, Juan Carlos Arismendi Zambrano
| Year of publication: |
October 2016
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|---|---|
| Authors: | Tsukahara, Fábio Yasuhiro ; Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Arismendi Zambrano, Juan Carlos |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 47.2016, p. 70-85
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| Subject: | Portfolio | Credit risk | Banking | Default probability | Validation techniques | Kreditrisiko | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Bankrisiko | Bank risk | Risikomanagement | Risk management | Stresstest | Stress test | Kreditgeschäft | Bank lending |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2016.06.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011624054