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Capital requirements for over-the-counter derivatives central counterparties
Lin, Li; Surti, Jay - In: Journal of banking & finance 52 (2015), pp. 140-155
Persistent link: https://www.econbiz.de/10011377350
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Assessing financial stability : the Capital and Loss Assessment under Stress Scenarios (CLASS) model
Hirtle, Beverly J.; Kovner, Anna; Vickery, James; … - In: Journal of banking & finance 69 (2016), pp. 35-55
Persistent link: https://www.econbiz.de/10011635093
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A clustering approach and a rule of thumb for risk aggregation
Di Lascio, F. Marta L.; Giammusso, Davide; Puccetti, … - In: Journal of banking & finance 96 (2018), pp. 236-248
Persistent link: https://www.econbiz.de/10011967212
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Model uncertainty and VaR aggregation
Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
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Mountain or molehill? : downward biases in the conglomerate discount measure
Rudolph, Christin; Schwetzler, Bernhard - In: Journal of banking & finance 40 (2014), pp. 420-430
Persistent link: https://www.econbiz.de/10010403688
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Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Sbrana, Giacomo; Silvestrini, Andrea - In: Journal of banking & finance 37 (2013) 5, pp. 1437-1450
Persistent link: https://www.econbiz.de/10009729085
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Sensitivity-implied tail-correlation matrices
Paulusch, Joachim; Schlütter, Sebastian - In: Journal of banking & finance 134 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
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Aggregation bias in tests of the commodity currency hypothesis
Bork, Lasse; Rovira Kaltwasser, Pablo; Sercu, Piet - In: Journal of banking & finance 135 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013401953
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Macroeconomics news and the stock market : evidence from Europe
Wasserfallen, Walter - In: Journal of banking & finance 13 (1989) 4, pp. 613-626
Persistent link: https://www.econbiz.de/10001075369
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Universal banking and firm risk-taking
John, Kose - In: Journal of banking & finance 18 (1994) 2, pp. 307-323
Persistent link: https://www.econbiz.de/10001164279