Systematic stress tests with entropic plausibility constraints

Journal of Banking and Finance

Volumn 37, Issue 5, 2013, Pages 1552-1559

  Breuer, Thomas ^a   Csiszár, Imre ^b  

^a PPE Research Centre   (Austria)

^b INSTITUTE OF EXPERIMENTAL MEDICINE   (Hungary)

Author keywords

Model risk; Multiple priors; Relative entropy; Risk measures; Scenario analysis; Worst case

Indexed keywords

EID: 84875063515     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2012.04.013     Document Type: Article

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