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ArticleSystematic stress tests with entropic plausibility constraints

Thomas Breuer2012

Article2012

Systematic stress tests with entropic plausibility constraints

Thomas Breuer · Imre Csiszár

102 citations·0/0 files stored·Journal of Banking & Finance

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

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References

2010Basel Committee On Banking Supervision 2011Quantitative Risk Management 2002Coherent Risk Measures on General Probability Spaces 2007Robustness 2012Quantitative Risk Management 2013The amendment to the capital accord to incorporate market risk 1997Calibrating volatility surfaces via relative-entropy minimization 2007Stress-Testing Financial Systems: An Overview of Current Methodologies

Cited by

2013MEASURING DISTRIBUTION MODEL RISK 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests 2019Entropy based risk measures 2011Modeling Credit Contagion Via the Updating of Fragile Beliefs 2020Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities

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Year2012

Typearticle

Published2012-04-29

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations102

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2012.04.013

openalex_workW1999286169

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