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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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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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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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The generation of synthetic data for risk modelling
Hurst, James; Mayorov, Kirill; Tatsinkou, Joseph … - In: Journal of risk management in financial institutions 15 (2021/2022) 3, pp. 260-269
Persistent link: https://www.econbiz.de/10013391978
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
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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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Economic capital: A brief history and practical applications today
Ferguson, Tally - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10012041840