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Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?
Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - In: Journal of banking & finance 34 (2010) 4, pp. 703-712
Persistent link: https://www.econbiz.de/10003966039
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A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - In: Journal of banking & finance 36 (2012) 2, pp. 332-340
Persistent link: https://www.econbiz.de/10009511320
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Systematic stress tests on public data
Breuer, Thomas; Summer, Martin - In: Journal of banking & finance 118 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012521044
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A systematic approach to multi-period stress testing of portfolio credit risk
Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - In: Journal of banking & finance 36 (2012) 2, pp. 332-341
Persistent link: https://www.econbiz.de/10009818201
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Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
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Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10010094481