Formulating hypothetical scenarios in correlation stress testing via a Bayesian framework
Year of publication: |
2014
|
---|---|
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
|
Subject: | Bayesian estimation | Block Gibbs sampling | Correlation stress testing | Scenario test | Bayes-Statistik | Bayesian inference | Korrelation | Correlation | Schätztheorie | Estimation theory |
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