Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework
Philip L. H. Yu; W. K. Li; F. C Ng
| Year of publication: |
2014
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|---|---|
| Authors: | Yu, Philip L. H. ; Li, Wai Keung ; Ng, F. C |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 27.2014, p. 17-33
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| Subject: | Bayesian estimation | Block Gibbs sampling | Correlation stress testing | Scenario test | Bayes-Statistik | Bayesian inference | Korrelation | Correlation | Szenariotechnik | Scenario analysis | Statistischer Test | Statistical test | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10010460916