Stress testing of retail mortgages : a study based on non-stationary Markov chains and t-copula simulation
Chang Liu; Min Guo; Raja Nassar
| Year of publication: |
2010
|
|---|---|
| Authors: | Liu, Chang ; Guo, Min ; Nassar, Raja |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 4.2010/11, 2, p. 65-80
|
| Subject: | Bankgeschäft | Banking services | Hypothek | Mortgage | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | China |
| 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/10003995413