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Stress Testing via Contamination · Study

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ChapterStress Testing via Contamination

Jitka Dupačová2006

Chapter2006

Stress Testing via Contamination

Jitka Dupačová

18 citations·0/0 files stored·Lecture notes in economics and mathematical systems

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

2002Conditional value-at-risk for general loss distributions 1995Robust Optimization of Large-Scale Systems 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 2001Generating Scenario Trees for Multistage Decision Problems 2005Applications of Stochastic Programming 2002Risk Management: Value at Risk and Beyond 1986A Bank Asset and Liability Management Model

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2007Stress testing for VaR and CVaR

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Details

Year2006

Typechapter

Published2006-01-01

VenueLecture notes in economics and mathematical systems

ISSN-L0075-8442

Languageen

Citations18

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/3-540-35262-7_2

openalex_workW1900939797

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