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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Counterparty risk : credit valuation adjustment variability and value-at-risk
Breton, Michèle; Marzouk, Oussama - In: Journal of risk 21 (2018/2019) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10012059879
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Initial margin with risky collateral
Shi, Ming; Yu, Xinxin; Zhang, Ke - In: Journal of risk 20 (2017/2018) 3, pp. 49-68
Persistent link: https://www.econbiz.de/10011847469
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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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Loss-given-default on farm real estate loans : probability of full recovery
Yan, Yan; Barry, Peter J. - In: Agricultural finance review 66 (2006) 1, pp. 47-59
Persistent link: https://www.econbiz.de/10003387853
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On the reliability of integrated risk measurement in practice
Grundke, Peter - In: Journal of risk 15 (2012/13) 3, pp. 87-110
Persistent link: https://www.econbiz.de/10009732826
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Failure of the saddlepoint method in the presence of double defaults
Lütkebohmert-Holtz, Eva - In: Journal of risk 15 (2012/13) 1, pp. 71-89
Persistent link: https://www.econbiz.de/10009657964