Correlation scenarios and correlation stress testing
Year of publication: |
2023
|
---|---|
Authors: | Packham, Natalie ; Wöbbeking, Carl Fabian |
Published in: |
Journal of economic behavior & organization : JEBO. - Amsterdam [u.a.] : Elsevier, ISSN 0167-2681, ZDB-ID 864321-0. - Vol. 205.2023, p. 55-67
|
Subject: | Bayesian variable selection | Correlation stress testing | Factor selection | Market risk management | Reverse stress testing | Scenario selection | Korrelation | Correlation | Risikomanagement | Risk management | Bankrisiko | Bank risk | Szenariotechnik | Scenario analysis | Bankenaufsicht | Banking supervision |
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