Systematic multi-period stress scenarios with an application to CCP risk management
Year of publication: |
June 2016
|
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Authors: | Genaro, Alan de |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 67.2016, p. 119-134
|
Subject: | Stress scenarios | Central Counterparty | Monte Carlo simulation | Margin requirements | Maximum block-entropy | Risikomanagement | Risk management | Monte-Carlo-Simulation | Simulation | Stress | Work stress | Szenariotechnik | Scenario analysis |
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