Stressing dynamic loss models
Emma Kroell, Silvana M. Pesenti, Sebastian Jaimungal
| Year of publication: |
2024
|
|---|---|
| Authors: | Kroell, Emma ; Pesenti, Silvana M. ; Jaimungal, Sebastian |
| Subject: | Compound Poisson processes | Conditional Value-at-Risk | KL divergence | Reverse stress testing | Value-at-Risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process | Theorie | Theory | Bankrisiko | Bank risk | Verlust | Loss | Stress | Work stress |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.11.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015049360