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How to find plausible, severe, and useful stress scenarios

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus - 2009

Persistent link: https://www.econbiz.de/10003810905

Regulatory capital for marketand credit risk interaction:is current regulation always conservative?

Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

Persistent link: https://www.econbiz.de/10005866203

A systematic approach to multi-period stress testing of portfolio credit risk

Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - 2010

Persistent link: https://www.econbiz.de/10003996114

Efficient evaluation of multidimensional time-varying density forecasts with an application to risk management

Polanski, Arnold; Stoja, Evarist - 2009

Persistent link: https://www.econbiz.de/10008660179

Extreme risk interdependence

Polanski, Arnold; Stoja, Evarist - 2015

Persistent link: https://www.econbiz.de/10011402815

Lebenszyklusorientiertes Risikomanagement für PPP-Projekte im öffentlichen Hochbau: Abschlussbericht zum Forschungsprojekt

Alfen, Hans Wilhelm; Riemann, Alexander; Leidel, Katja; … - 2010

Partnership-Projekten wurde von Juni 2008 bis Oktober 2010 das Forschungsprojekt Lebenszyklusorientiertes Risikomanagement für PPP … Projektpartner als auch das Gesamtprojekt erreicht werden. Im dritten Teil wird das integrierte Risikomanagement-Prozessmodell über … integrierten Risikomanagement-Prozessmodell, den zu den einzelnen Prozessen gehörenden Methoden sowie organisationsspezifischen …

Persistent link: https://www.econbiz.de/10010308336

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

Polanski, Arnold - 2010

We propose two simple evaluation methods for time varying density forecasts of continuous higher dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation...

Persistent link: https://www.econbiz.de/10013138453

Value-Based Corporate Risk Management

Gleißner, Werner - 2010

Abstract: Managing risks does not necessarily mean reducing risks but weighing up these risks against the profits and considering the impacts on the equity capital needed to cover the risk (and on the cost of capital). Risk analysis and risk aggregation are necessary tasks of a value-based...

Persistent link: https://www.econbiz.de/10013138821

Risk Reporting and Risks Reported : A Study on German HDAX-Listed Companies 2000 to 2005

Berger, Thomas B. - 2010

In recent years new reporting standards and laws have been issued. For German companies, the KonTraG (Corporate Sector Supervision and Transparency Act) was introduced in 1998 and the German Accounting Standard (GAS 5 Risk Reporting) is in place since 2001. This study analyses the disclosure of...

Persistent link: https://www.econbiz.de/10013139123

Extreme Downside Risk and Financial Crises

Harris, Richard D. F. - 2015

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

Persistent link: https://www.econbiz.de/10013015516