Quantitative reverse stress testing, bottom up
Year of publication: |
2023
|
---|---|
Authors: | Albanese, Claudio ; Crépey, Stéphane ; Iabichino, Stefano |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 5, p. 863-875
|
Subject: | 91B30 | 91G20 | 91G30 | 91G40 | Cost of capital (KVA) | Model risk | Model validation | PFE | Quantitative reverse stress testing | Trading limits | Bankenaufsicht | Banking supervision | Risikomanagement | Risk management | Theorie | Theory | Finanzdienstleistung | Financial services | Bankrisiko | Bank risk | Kapitalkosten | Cost of capital |
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