A macroeconomic reverse stress test
Year of publication: |
May 2018
|
---|---|
Authors: | Grundke, Peter ; Pliszka, Kamil |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 50.2018, 4, p. 1093-1130
|
Subject: | Copula functions | Extreme value theory | Principal component analysis | Reverse stress testing | Risikomanagement | Risk management | Theorie | Theory | Multivariate Verteilung | Multivariate distribution |
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