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  • Search: subject:"Worst Case Search"
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Year of publication
Subject
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Credit risk 2 Stress testing 2 Worst case search 2 Credit Risk 1 Maximum Loss 1 Maximum loss 1 Maximun loss 1 Riesgos y liquidez 1 Stress Testing 1 Worst Case Search 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1 Other 1
Language
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English 2 Undetermined 1
Author
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Breuer, Thomas 3 Summer, Martin 3 Jandačka, Martin 2 Mencía, Javier 2 Jandacka, Martin 1 Mencía González, Javier 1
Institution
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Banco de España 1
Published in...
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Banco de España Working Papers 1 Journal of Banking & Finance 1
Source
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RePEc 2 BASE 1
Showing 1 - 3 of 3
Cover Image
A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas; Jandacka, Martin; Mencía González, Javier - 2010
range of models already in use among stress testing practitioners. While worst case search requires numerical optimisation …
Persistent link: https://www.econbiz.de/10012530304
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Cover Image
A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - Banco de España - 2010
range of models already in use among stress testing practitioners. While worst case search requires numerical optimisation …
Persistent link: https://www.econbiz.de/10008471566
Saved in:
Cover Image
A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - In: Journal of Banking & Finance 36 (2012) 2, pp. 332-340
case search requires numerical optimisation we show that we can work with reasonably good linear approximations to the … scenario will be missed. We show how this method can be applied to some models already in use by practitioners. While worst …
Persistent link: https://www.econbiz.de/10011065663
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