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The integrated impact of credit and interest rate risk on banks : a dynamic framework and stress testing application
Drehmann, Mathias; Sorensen, Steffen; Stringa, Marco - In: Journal of banking & finance 34 (2010) 4, pp. 713-729
Persistent link: https://www.econbiz.de/10003966040
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - In: Journal of banking & finance 34 (2010) 4, pp. 730-742
Persistent link: https://www.econbiz.de/10003966042
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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The intersection of market and credit risk
Jarrow, Robert A.; Turnbull, Stuart M. - In: Journal of banking & finance 24 (2000) 1/2, pp. 271-299
Persistent link: https://www.econbiz.de/10001432993