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Asset portfolio securitizations and cyclicality of regulatory capital
Lützenkirchen, Kristina; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 237 (2014) 1, pp. 289-302
Persistent link: https://www.econbiz.de/10010378603
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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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Hedge fund systemic risk signals
Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291
Persistent link: https://www.econbiz.de/10010361715
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Importance sampling for integrated market and credit portfolio models
Grundke, Peter - In: European journal of operational research : EJOR 194 (2009) 1, pp. 206-226
Persistent link: https://www.econbiz.de/10003835434
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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Modelling credit grade migration in large portfolios using cumulative t-link transition models
Forster, Jonathan J.; Buzzacchi, Matteo; Sudjianto, Agus; … - In: European journal of operational research : EJOR 254 (2016) 3, pp. 977-984
Persistent link: https://www.econbiz.de/10011521936
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Evolutionary behaviors regarding pricing and payment-convenience strategies with uncertain risk
Johari, Maryam; Hosseini-Motlagh, Seyyed-Mahdi - In: European journal of operational research : EJOR 297 (2022) 2, pp. 600-614
Persistent link: https://www.econbiz.de/10013259797
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Large portfolio losses in a turbulent market
Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769
Persistent link: https://www.econbiz.de/10012502397
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Sharp asymptotics for large portfolio losses under extreme risks
Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722
Persistent link: https://www.econbiz.de/10012003644