Stress testing for VaR and CVaR (Q5423193)
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scientific article; zbMATH DE number 5203406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stress testing for VaR and CVaR |
scientific article; zbMATH DE number 5203406 |
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Stress testing for VaR and CVaR (English)
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22 October 2007
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Stochastic programming
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risk management
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portfolio optimization
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linear programming
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fixed-income markets
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asset liability modelling
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dynamic models
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