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From BASEL III to BASEL IV and beyond : expected shortfall and expectile risk measures
Zaevski, Tsvetelin S.; Nedeltchev, Dragomir C. - In: International review of financial analysis 87 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014460567
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The accuracy of alternative supervisory methodologies for the stress testing of credit risk
Jacobs, Michael <Jr.> - In: International journal of financial engineering and risk … 3 (2020) 3, pp. 254-296
Persistent link: https://www.econbiz.de/10012253521
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Systemic risk measures and macroprudential stress tests : an assessment over the 2014 EBA exercise
Pederzoli, Chiara; Torricelli, Costanza - In: Annals of finance 13 (2017) 3, pp. 237-251
Persistent link: https://www.econbiz.de/10011945440
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Extended saddlepoint methods for credit risk measurement
García-Céspedes, Rúben; Moreno, Manuel - In: The journal of computational finance 20 (2016) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10011656202
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An assessment of the Fundamental Review of the Trading Book : the capital requirement impact on a stylised financial portfolio
Pederzoli, Chiara; Torricelli, Costanza - In: International journal of banking, accounting and … 12 (2021) 4, pp. 389-403
Persistent link: https://www.econbiz.de/10012694431
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Risk Management in Credit Portfolios : Concentration Risk and Basel II
Hibbeln, Martin - 2010
Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under … Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector … for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared …
Persistent link: https://www.econbiz.de/10013522876
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...
Persistent link: https://www.econbiz.de/10010258580
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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Incorporating funding costs in top-down stress tests
Korsgaard, Søren - In: Journal of financial stability 52 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012745409