Reverse stress testing in skew-elliptical models

DOI10.1090/tpms/1199OpenAlexW4387301836MaRDI QIDQ6050283

Jonathan von Schroeder, Thorsten Dickhaus, Taras Bodnar

Publication date: 12 October 2023

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1199

zbMATH Keywords

constrained optimization empirical likelihood risk management parametric bootstrap bank regulation most likely scenario

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

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