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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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Unexpected loss, expected profit, and economic capital : a note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target
Krebs, Martin; Nippel, Peter - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012487743
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Art-secured lending : a risk analysis framework
Charlin, Ventura; Cifuentes, Arturo - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 67-93
Persistent link: https://www.econbiz.de/10012298997
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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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Modeling severity risk under PD-LGD correlation
Han, Chulwoo - In: The European journal of finance 23 (2017) 13/15, pp. 1572-1588
Persistent link: https://www.econbiz.de/10012014695
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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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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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Adverse risk interaction : an integrated approach
Božović, Miloš; Ivanović, Jelena - In: Economic modelling 65 (2017), pp. 67-74
Persistent link: https://www.econbiz.de/10011813551
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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968