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Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
Shang, Danjue; Kuzmenko, Victor; Uryasev, Victor - In: Advances of OR in commodities and financial modeling, (pp. 501-514). 2018
Persistent link: https://www.econbiz.de/10011871446
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Quantification of Structural Liquidity Risk in Banks
Wieser, Christoph - 2022
Introduction -- Liquidity and risk -- Liquidity risk regulation -- Liquidity risk management -- Model for the … quantification of structural liquidity risk -- Calculation -- Conclusion -- References. …Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits …
Persistent link: https://www.econbiz.de/10013414562
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Insurance risk capital and risk aggregation : bivariate copula approach
Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218
Persistent link: https://www.econbiz.de/10012115324
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun; Jia, Huameng; Mao, Tiantian - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
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Some systemic risk indicators
El Qalli, Yassine; Said, Khalil - In: Risk and decision analysis 9 (2023) 2/4, pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
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A portfolio-invariant capital allocation scheme penalizing concentration risk
Kao, Lie Jane - In: Economic modelling 51 (2015), pp. 560-570
Persistent link: https://www.econbiz.de/10011476155
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Determining hurdle rate and capital allocation in credit portfolio management
Miu, Peter; Ozdemir, Bogie; Cubukgil, Evren; Giesinger, … - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 243-273
Persistent link: https://www.econbiz.de/10011667855
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The impact of the Basel III liquidity ratios on banks : evidence from a simulation study
Grundke, Peter; Kühn, André - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 167-190
Persistent link: https://www.econbiz.de/10012416452
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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