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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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Extremal dependence for bilateral credit valuation adjustments
Scherer, Matthias; Schulz, Thorsten - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10011568865
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Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
Vrins, Frédéric - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-35
Persistent link: https://www.econbiz.de/10011763941
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Shortfall risk minimization under fixed transaction costs
Nayman, Niv - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011903790
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
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Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian; Monfort, Alain - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
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Coherent risk measures for derivates under Black-Scholes economy
Yang, Hai; Siu, T. K. - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 819-835
Persistent link: https://www.econbiz.de/10001612278