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Competitiveness and concentration of the banking sector as a measure of banks' credit ratings
Chodnicka-Jaworska, Patrycja - In: Contemporary Trends and Challenges in Finance : …, (pp. 121-134). 2018
Persistent link: https://www.econbiz.de/10013369196
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Concentration risk : the comparison of the ad-hoc approach indexes
Slime, Badreddine; Hammami, Moez - In: Inventi impact: emerging economies (2016) 3, pp. 182-195
Persistent link: https://www.econbiz.de/10011567840
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Does the bank risk concentration freeze the interbank system?
Lucchetta, Marcella - In: The North American journal of economics and finance : a … 33 (2015), pp. 149-166
Persistent link: https://www.econbiz.de/10011534904
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Credit market concentration, relationship lending and the cost of debt
Bonini, Stefano; Dell'Acqua, Alberto; Fungo, Matteo; … - In: International review of financial analysis 45 (2016), pp. 172-179
Persistent link: https://www.econbiz.de/10011581962
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Liquidity, risk measures, and concentration of measure
Lacker, Daniel - In: Mathematics of operations research 43 (2018) 3, pp. 813-837
Persistent link: https://www.econbiz.de/10011914365
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Risk concentration and the mean-expected shortfall criterion
Han, Xia; Wang, Ruodu; Wu, Qinyu - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 819-846
Persistent link: https://www.econbiz.de/10014565286
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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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Measuring credit risk of bank customers using artificial neural network
Nazari, Mohsen; Alidadi, Mojtaba - In: Journal of management research 5 (2013) 2, pp. 17-27
Persistent link: https://www.econbiz.de/10009727633
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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