Predicting sovereign credit ratings for portfolio stress testing
Year of publication: |
2021
|
---|---|
Authors: | Campino, Jonas de Oliveira ; Galizia, Frederico ; Serrano, Daniela ; Sperling, Frank |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 14.2020/2021, 3, p. 229-241
|
Subject: | capital adequacy | sovereign risk | credit rating | stress testing | machine learning | LASSO | Monte Carlo simulation | Finanzdienstleistung | Financial services | Länderrisiko | Country risk | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Bankrisiko | Bank risk | Welt | World | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Prognoseverfahren | Forecasting model |
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