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~person:"Broll, Udo"
~person:"Wilkens, Sascha"
~person:"Zhu, Xiaoqian"
~subject:"Bank risk"
~subject:"risk measurement"
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Bank risk
risk measurement
Risikomaß
27
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26
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23
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19
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18
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14
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13
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11
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19
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Broll, Udo
Wilkens, Sascha
Zhu, Xiaoqian
Wahl, Jack E.
8
McAleer, Michael
7
Daníelsson, Jón
6
Guégan, Dominique
5
Hautsch, Nikolaus
5
Huschens, Stefan
5
Kaserer, Christoph
5
Li, Jianping
5
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5
Wehn, Carsten
5
Dionne, Georges
4
Farkas, Walter
4
Kupiec, Paul H.
4
Neisen, Martin
4
Pérez Amaral, Teodosio
4
Röth, Stefan
4
Stange, Sebastian
4
Stulz, René M.
4
Wang, Ruodu
4
Adrian, Tobias
3
Begley, Taylor A.
3
Betz, Frank
3
Bianchi, Michele Leonardo
3
Chakroun, Mohamed Amin
3
Chan, Felix
3
Chaudhry, Sajid M.
3
Düllmann, Klaus
3
Embrechts, Paul
3
Eufinger, Christian
3
Gallali, Mohamed Imen
3
Giacometti, Rosella
3
Grundke, Peter
3
Hahn, Carsten
3
Hammoudeh, Shawkat
3
Hassani, Bertrand
3
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3
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The journal of operational risk
2
Contemporary economics
1
Discussion paper series / School of Economics and Finance, the University of Hong Kong
1
Dresden discussion paper in economics
1
Dresden discussion paper series in economics
1
Economics and business review
1
European financial management : the journal of the European Financial Management Association
1
International Journal of Financial Markets and Derivatives : IJFMD
1
Jahrbücher für Nationalökonomie und Statistik
1
Journal of risk
1
Journal of risk management in financial institutions
1
Review of Pacific Basin financial markets and policies
1
Review of quantitative finance and accounting
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Risk management : challenge and opportunity ; with 125 tables
1
Strategic management : a European approach
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ECONIS (ZBW)
19
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1
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1
How to choose the dependence types in operational risk measurement? : a method considering strength, sensitivity and simplicity
Zhu, Xiaoqian
;
Wang, Yinghui
;
Liu, Mingxi
;
Li, Jianping
- In:
The journal of operational risk
18
(
2023
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014490122
Saved in:
2
IRC and CRM : Modelling Framework for the 'Basel 2.5' Risk Measures
Wilkens, Sascha
;
Brunac, Jean-Baptiste
;
Chorniy, Vladimir
-
2023
the new capital requirements for market risks in a bank’s trading book ("Basel 2.5"). Both are
Value-at-Risk
-type measures …
Persistent link: https://www.econbiz.de/10014257295
Saved in:
3
Market risk,
value-at-risk
and exponential weighting
Broll, Udo
;
Förster, Andreas
- In:
Economics and business review
8/22
(
2022
)
2
,
pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
Saved in:
4
Computational challenges for
value-at-risk
and expected shortfall : Chebyshev interpolation to the rescue?
Wilkens, Sascha
- In:
International Journal of Financial Markets and …
8
(
2021
)
2
,
pp. 101-115
Persistent link: https://www.econbiz.de/10012598655
Saved in:
5
Machine learning in risk measurement : Gaussian process regression for
value-at-risk
and expected shortfall
Wilkens, Sascha
- In:
Journal of risk management in financial institutions
12
(
2019
)
3
,
pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
Saved in:
6
Should the advanced measurement approach for operational risk be discarded? : evidence from the Chinese banking industry
Zhu, Xiaoqian
;
Li, Jianping
;
Wu, Dengsheng
- In:
Review of Pacific Basin financial markets and policies
22
(
2019
)
1
,
pp. 1950007-1-1950007-15
Persistent link: https://www.econbiz.de/10012156150
Saved in:
7
Banking Firm, Equity and
Value
at
Risk
Broll, Udo
-
2013
potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate
value
at
…
risk
(VaR) into the firm-theoretical model of a banking firm facing the risk of asset return. Given the necessity to …
Persistent link: https://www.econbiz.de/10013088862
Saved in:
8
Default Risk Charge : Modeling Framework for the 'Basel' Risk Measure
Wilkens, Sascha
-
2017
Revised standards for capital requirements for market risks in a bank's trading book have been issued as a result of the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). While...
Persistent link: https://www.econbiz.de/10012971306
Saved in:
9
Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha
;
Pedescu, Mirela
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
Saved in:
10
The mutual-information-based variance-covariance approach : an application to operational risk aggregation in Chinese banking
Li, Jianping
;
Zhu, Xiaoqian
;
Xie, Yongjia
;
Chen, Jianming
; …
- In:
The journal of operational risk
9
(
2014/2015
)
3
,
pp. 3-19
Persistent link: https://www.econbiz.de/10013262974
Saved in:
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