A Coherent Aggregation Framework for Stress Testing and Scenario Analysis

DOI10.1080/1350486X.2010.491966zbMath1213.91091MaRDI QIDQ3004480

Jan Kwiatkowski, Riccardo Rebonato

Publication date: 3 June 2011

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

linear programmingstress testingcoherent probabilities

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

Cites Work

• Assessing Scenario Probabilities Via Interactive Goal Programming
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