Incorporating correlation regimes in an integrated stressed risk modeling process
Year of publication: |
2008
|
---|---|
Authors: | Aragonés, José ; Blanco, Carlos |
Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 32.2008, 2, p. 148-157
|
Publisher: |
Springer |
Subject: | Stress test | Value at risk | Modeling process | Expected tail loss | Correlation breakdown | Market regimes |
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