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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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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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Integrated stock-bond portfolio management
Pang, Xiaochuan; Wu, Shuping; Zhu, Shushang - In: The journal of investment strategies 12 (2023) 3, pp. 23-51
Persistent link: https://www.econbiz.de/10014484654
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A conditional equity risk model for regulatory assessment
Floryszczak, A.; Lévy Véhel, Jacques; Majri, M. - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 217-242
Persistent link: https://www.econbiz.de/10012105450
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Market risk, value-at-risk and exponential weighting
Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
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Evaluation of market risk associated with hedging a credit derivative portfolio
Chamizo, Álvaro; Novales, Alfonso - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 411-430
Persistent link: https://www.econbiz.de/10012655516
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Integrated risk measurement system in commercial bank
Zhevaga, Alexander; Morgunov, Alexei - In: Risk assessment and financial regulation in emerging …, (pp. 225-250). 2021
Integrated risk management means the comprehensive and effective management all significant risks (affecting the bank's activities) and their interrelation, including building a corporate culture of risk management and integrating risk management into strategic planning. The significant risks...
Persistent link: https://www.econbiz.de/10012591724
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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha; Pedescu, Mirela - In: Journal of risk 19 (2016/2017) 4, pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358