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Stressing dynamic loss models - MaRDI portal

Stressing dynamic loss models (Q6152707)

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scientific article; zbMATH DE number 7804020
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English
Stressing dynamic loss models
scientific article; zbMATH DE number 7804020

    Statements

    title
    Stressing dynamic loss models (English)
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    author
    Emma Kroell
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    Silvana M. Pesenti
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    Sebastian Jaimungal
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    publication date
    13 February 2024
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    zbMATH Keywords
    reverse stress testing
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    compound Poisson processes
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    KL divergence
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    value-at-risk
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    conditional value-at-risk
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    Identifiers

    arXiv ID
    2211.03221
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    zbMATH DE Number
    7804020
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    OpenAlex ID
    W4388894529
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