Regress under stress : a simple least-squares method for integrating economic scenarios with risk simulations
Year of publication: |
2016
|
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Authors: | Rosen, Dan ; Sounders, David |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 9.2016, 4, p. 391-412
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Subject: | conditional simulation | linear regression | risk contributions | risk management | scenario generation | stress testing | Theorie | Theory | Simulation | Risikomanagement | Risk management | Risiko | Risk | Risikomaß | Risk measure | Regressionsanalyse | Regression analysis | Szenariotechnik | Scenario analysis |
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