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A theory of multivariate stress testing
Millossovich, Pietro; Tsanakas, Andreas; Wang, Ruodu - In: European journal of operational research : EJOR 318 (2024) 3, pp. 851-866
Persistent link: https://www.econbiz.de/10015048176
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Der sensitivitätsbasierte Standardansatz für Marktpreisrisiken
Schmaltz, Christian - In: Marktrisikoregulierung im Umbruch, (pp. 55-79). 2016
Persistent link: https://www.econbiz.de/10011596627
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Assessing financial model risk
Barrieu, Pauline; Scandolo, Giacomo - In: European journal of operational research : EJOR 242 (2015) 2, pp. 546-556
Persistent link: https://www.econbiz.de/10010491649
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Is mortality or interest rate the most important risk in annuity models? : a comparison of sensitivity analysis methods
Rabitti, Giovanni; Borgonovo, Emanuele - In: Insurance / Mathematics & economics 95 (2020), pp. 48-58
Persistent link: https://www.econbiz.de/10012419238
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Reverse sensitivity testing : what does it take to break the model?
Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas - In: European journal of operational research : EJOR 274 (2019) 2, pp. 654-670
Persistent link: https://www.econbiz.de/10011990176
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Stability advances in robust portfolio optimization under parallelepiped uncertainty
Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm - In: Central European journal of operations research : CEJOR … 27 (2019) 1, pp. 241-261
Persistent link: https://www.econbiz.de/10011965635
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Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10011733962
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External risk measures and Basel accords
Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417
Persistent link: https://www.econbiz.de/10009787381
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544