Stress testing of credit portfolios in light- and heavy-tailed models
Year of publication: |
2015
|
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Authors: | Kalkbrener, Michael ; Packham, Natalie |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 8.2015, 1, p. 34-44
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Subject: | stress testomg | credit portfolio modelling | tail dependence | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Stresstest | Stress test | Theorie | Theory | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure |
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