Work

Systematic stress tests with entropic plausibility constraints

Year: 2012

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2012.04.013

Authors: Thomas Breuer, Imre Csiszár

Institutions: Vorarlberg University of Applied Sciences, HUN-REN Alfréd Rényi Institute of Mathematics, Hungarian Academy of Sciences

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

Funder: Austrian Science Fund

OpenAlex ID: W1999286169

FWCI: 9.336

Cites: 51

Cited by: 101

Related to: 10