Capital and collateral simulation for reverse stress testing

Claudio Albanese, Stéphane Crépey () and Stefano Iabichino ()
Additional contact information
Stéphane Crépey: UFR Mathématiques et informatique [Sciences] - Université Paris Cité - UPCité - Université Paris Cité, LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité

Post-Print from HAL

Date: 2021
Note: View the original document on HAL open archive server: https://hal.science/hal-03910103v1
References: Add references at CitEc
Citations:

Published in Michael Eichhorn Tiziano Bellini and Daniel Mayenberger. Reverse Stress Testing in Banking, De Gruyter, pp.349-360, 2021, ⟨10.1515/9783110647907-017⟩

Downloads: (external link)
https://hal.science/hal-03910103v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03910103

DOI: 10.1515/9783110647907-017

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().