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~language:"eng"
~person:"Fabozzi, Frank J."
~person:"Migueis, Marco"
~person:"Pedersen, Lasse Heje"
~subject:"Theory"
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Risikomanagement
74
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17
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16
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Fabozzi, Frank J.
Migueis, Marco
Pedersen, Lasse Heje
Broll, Udo
24
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21
Daníelsson, Jón
18
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17
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11
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11
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10
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10
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9
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9
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9
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9
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8
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8
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8
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ECONIS (ZBW)
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1
Portfolio volatility spillover
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-39
Persistent link: https://www.econbiz.de/10013371157
Saved in:
2
The information value of past losses in operational risk
Curti, Filippo
;
Migueis, Marco
- In:
The journal of operational risk
18
(
2023
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10014490088
Saved in:
3
From ad hoc bond-risk measures to variance-covariance forecasts
Jong, Marielle de
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
30
(
2021
)
4
,
pp. 6-16
Persistent link: https://www.econbiz.de/10012517176
Saved in:
4
Deep value
Asness, Cliff
;
Liew, John
;
Pedersen, Lasse Heje
; …
- In:
The journal of portfolio management : JPM
47
(
2021
)
4
,
pp. 11-40
Persistent link: https://www.econbiz.de/10012486041
Saved in:
5
Risk parity : the democratization of risk in asset allocation
Fabozzi, Francesco A.
;
Simonian, Joseph
;
Fabozzi, Frank J.
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 41-50
Persistent link: https://www.econbiz.de/10012503362
Saved in:
6
Intertemporal defaulted bond recoveries prediction via machine learning
Nazemi, Abdolreza
;
Baumann, Friedrich
;
Fabozzi, Frank J.
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1162-1177
Persistent link: https://www.econbiz.de/10013263044
Saved in:
7
Regulatory Arbitrage in the Use of Insurance in the New Standardized Approach for Operational Risk Capital
Migueis, Marco
-
2019
Basel's new standardized approach (SA) for operational risk capital may allow for regulatory arbitrage through the use of insurance. Under the SA, banks will have incentive to insure recurring losses, which can meaningfully reduce capital requirements even as it does not meaningfully decrease...
Persistent link: https://www.econbiz.de/10012859534
Saved in:
8
Evaluation the AMA and the New Standardized Approach for Operational Risk Capital
Migueis, Marco
-
2018
Seven desirable properties for a capital framework are proposed, and the Advanced Measurement Approach (AMA) and the new standardized approach (NSA) for operational risk capital are evaluated relative to them. The AMA is vulnerable to gaming, complex, and lacks comparability. The NSA lacks risk...
Persistent link: https://www.econbiz.de/10012922130
Saved in:
9
Forward-looking and incentive-compatible operational risk capital framework
Migueis, Marco
-
2017
Persistent link: https://www.econbiz.de/10011802946
Saved in:
10
Evaluating the AMA and the new standardized approach for operational risk capital
Migueis, Marco
- In:
Journal of banking regulation
20
(
2019
)
4
,
pp. 302-311
Persistent link: https://www.econbiz.de/10012259758
Saved in:
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