Wrong-way risk bounds in counterparty credit risk management
Year of publication: |
2017
|
---|---|
Authors: | Memartoluie, Amir ; Saunders, David M. ; Wirjanto, Tony S. |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 10.2016/2017, 2, p. 150-163
|
Subject: | counterparty credit risk | CVaR | Basel III | linear programming | risk management | distributions with given marginals | Finanzdienstleistung | Financial services | Risikomanagement | Risk management | Kreditrisiko | Credit risk | Basler Akkord | Basel Accord |
-
Current exposure method for CCP's under Basel III
Kotzé, Antoine, (2013)
-
Counterparty credit risk in OTC derivatives under Basel III
Sayah, Mabelle, (2017)
-
Malandrakis, Ioannis K., (2014)
- More ...
-
Worst-Case Copulas, Mass Transportation and Wrong-Way Risk in Counterparty Credit Risk Management
Memartoluie, Amir, (2013)
-
Improved algorithms for computing worst Value-at-Risk
Hofert, Marius, (2017)
-
Wrong-Way Bounds in Counterparty Credit Risk Management
Memartoluie, Amir, (2015)
- More ...