Stress testing of credit portfolios in light- and heavy-tailed models
Michael Kalkbrener; Natalie Packham
| Year of publication: |
2015
|
|---|---|
| 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
|
| Subject: | stress testomg | credit portfolio modelling | tail dependence | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Theorie | Theory | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010526460