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Unexpected loss, expected profit, and economic capital : a note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target
Krebs, Martin; Nippel, Peter - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012487743
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Contagion effect on bond portfolio risk measures in a hybrid credit risk model
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Finance research letters 11 (2014) 2, pp. 131-139
Persistent link: https://www.econbiz.de/10010441202
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Credit risk assessment of fixed income portfolios using explicit expressions
Pagnoncelli, Bernardo K.; Cifuentes, Arturo - In: Finance research letters 11 (2014) 3, pp. 224-230
Persistent link: https://www.econbiz.de/10010441865
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Asymmetric asset correlation in credit portfolios
Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013478636
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Relevance of wrong-way risk in funding valuation adjustments
Zwaard, Thomas van der; Grzelak, Lech A.; Oosterlee, … - In: Finance research letters 49 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013478834
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Impact of higher federal funds rates on bank risk during higher inflation in the U.S.
Koch, Jascha-Alexander; Islam, Mohammad Saiful - In: Finance research letters 60 (2024), pp. 1-10
Persistent link: https://www.econbiz.de/10014490202
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Information risk and credit contagion
Huang, Alex; Cheng, Chiao-ming - In: Finance research letters 10 (2013) 3, pp. 116-123
Persistent link: https://www.econbiz.de/10010222898
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Capped borrower credit risk and insurer hedging during the COVID-19 outbreak
Chen, Shi; Yang, Yang; Lin, Jyh-horng - In: Finance research letters 36 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012484306
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Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
Naifar, Nader; Shahzad, Syed Jawad Hussain - In: Finance research letters 45 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014578150
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Credit derivatives and bank systemic risk : risk enhancing or reducing?
Halili, Alba; Fenech, Jean-Pierre; Contessi, Silvio - In: Finance research letters 42 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014581326