On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests
Year of publication: |
2018
|
---|---|
Authors: | Siemsen, Thomas ; Vilsmeier, Johannes |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | model uncertainty | stress test | Bayesian model averaging | quantile mapping | credit risk |
Series: | Bundesbank Discussion Paper ; 31/2018 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-95729-491-3 |
Other identifiers: | 1030580146 [GVK] hdl:10419/182024 [Handle] RePEc:zbw:bubdps:312018 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C52 - Model Evaluation and Testing ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
-
On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests
Siemsen, Thomas, (2018)
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