Comparing simulation models for market risk stress testing.
Sanjay BasuPublished in: Eur. J. Oper. Res. (2011)
Keyphrases
- simulation models
- simulation model
- agent based simulation
- black scholes
- decision making
- simulation tools
- risk neutral
- risk evaluation
- financial crisis
- risk aversion
- stock market
- market share
- risk averse
- risk management
- investment strategies
- early warning
- air cargo
- portfolio management
- financial data
- high risk
- electricity markets
- data assimilation
- stock price