摘要翻译:
我们定义了场景,提出了聚合它们的不同方法,讨论了它们的属性,并根据象限需求对它们进行了基准测试。
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英文标题:
《Scenarios and their Aggregation in the Regulatory Risk Measurement
Environment》
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作者:
Andreas Haier, Thorsten Pfeiffer
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.
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PDF链接:
https://arxiv.org/pdf/1209.0646