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Economic capital and RAROC in a dynamic model
Bauer, Daniel; Zanjani, George - In: Journal of banking & finance 125 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012819680
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Bank balance sheet risk allocation
Júdice, Pedro; Zhu, Qiji Jim - In: Journal of banking & finance 133 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013256446
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A new approach to optimal capital allocation for RORAC maximization in banks
Kang, Woo-Young; Poshakwale, Sunil S. - In: Journal of banking & finance 106 (2019), pp. 153-165
Persistent link: https://www.econbiz.de/10012224261
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Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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A clustering approach and a rule of thumb for risk aggregation
Di Lascio, F. Marta L.; Giammusso, Davide; Puccetti, … - In: Journal of banking & finance 96 (2018), pp. 236-248
Persistent link: https://www.econbiz.de/10011967212
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Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22
Persistent link: https://www.econbiz.de/10011635106
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How do banks make the trade-offs among risks? : the role of corporate governance
Chen, Hsiao-Jung; Lin, Kuan-Ting - In: Journal of banking & finance 72 (2016), pp. 39-69
Persistent link: https://www.econbiz.de/10011637048
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Liquidity at risk : joint stress testing of solvency and liquidity
Cont, Rama; Kotlicki, Artur; Valderrama, Laura - In: Journal of banking & finance 118 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012520907
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The multiple dimensions of bank complexity : effects on credit risk-taking
Marinelli, Giuseppe; Nobili, Andrea; Palazzo, Francesco - In: Journal of banking & finance 134 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013400179
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Risk and control in complex banking groups
Argimón, Isabel; Rodríguez-Moreno, María - In: Journal of banking & finance 134 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013400180