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Bank balance sheet risk allocation
Júdice, Pedro; Zhu, Qiji Jim - In: Journal of banking & finance 133 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013256446
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Assessing the risk-return trade-off in loan portfolios
Mencía, Javier - In: Journal of banking & finance 36 (2012) 6, pp. 1665-1677
Persistent link: https://www.econbiz.de/10009616442
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Risk protection from risky collateral : evidence from the euro bond market
Helberg, Stig; Lindset, Snorre - In: Journal of banking & finance 70 (2016), pp. 193-213
Persistent link: https://www.econbiz.de/10011635195
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Risk factor contributions in portfolio credit risk models
Rosen, Dan; Saunders, David M. - In: Journal of banking & finance 34 (2010) 2, pp. 336-349
Persistent link: https://www.econbiz.de/10003935602
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Measuring portfolio credit risk correctly : why parameter uncertainty matters
Tarashev, Nikola A. - In: Journal of banking & finance 34 (2010) 9, pp. 2065-2076
Persistent link: https://www.econbiz.de/10008732113
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Credit portfolios : what defines risk horizons and risk measurement?
Ebnöther, Silvan; Vanini, Paolo - In: Journal of banking & finance 31 (2007) 12, pp. 3663-3679
Persistent link: https://www.econbiz.de/10003604359
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A simple model of credit contagion
Egloff, Daniel; Leippold, Markus; Vanini, Paolo - In: Journal of banking & finance 31 (2007) 8, pp. 2475-2492
Persistent link: https://www.econbiz.de/10003522957
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Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?
Breuer, Thomas; Jandačka, Martin; Rheinberger, Klaus; … - In: Journal of banking & finance 34 (2010) 4, pp. 703-712
Persistent link: https://www.econbiz.de/10003966039
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Granularity adjustment for mark-to-market credit risk models
Gordy, Michael B.; Marrone, James - In: Journal of banking & finance 36 (2012) 7, pp. 1896-1910
Persistent link: https://www.econbiz.de/10009629788
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Systemic risk contributions : a credit portfolio approach
Puzanova, Natalia; Düllmann, Klaus - In: Journal of banking & finance 37 (2013) 4, pp. 1243-1257
Persistent link: https://www.econbiz.de/10009719795