Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults
Year of publication: |
2023
|
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Authors: | Djeundje, Viani Biatat ; Crook, Jonathan N. |
Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 74.2023, 7, p. 1763-1774
|
Subject: | Credit scoring | banks | model risk | risk capital | stress testing | Finanzdienstleistung | Financial services | Bankrisiko | Bank risk | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Volatilität | Volatility | Kreditwürdigkeit | Credit rating | Theorie | Theory |
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