Reverse stress testing in skew-elliptical models (Q6050283)
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scientific article; zbMATH DE number 7748862
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reverse stress testing in skew-elliptical models |
scientific article; zbMATH DE number 7748862 |
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Reverse stress testing in skew-elliptical models (English)
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12 October 2023
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bank regulation
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constrained optimization
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empirical likelihood
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most likely scenario
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parametric bootstrap
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risk management
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