A systematic approach to multi-period stress testing of portfolio credit risk-Reference-Cited by-同舟云学术

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A systematic approach to multi-period stress testing of portfolio credit risk

Published:2012-02 Issue:2 Volume:36 Page:332-340
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Breuer Thomas,Jandačka Martin,Mencía Javier,Summer Martin

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Alfaro, R., Drehmann, M., 2009. Macro stress tests and crises: what can we learn? In: BIS Quarterly Review. Bank of International Settlements, pp. 29–41.

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. A coherent framework for stress testing;Berkowitz;Journal of Risk,2000

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Credit risk concentrations under stress;Bonti;Journal of Credit Risk,2006

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