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Individual pension risk preference elicitation and collective asset allocation with heterogeneity
Alserda, Gosse A. G.; Dellaert, Benedict G. C.; … - In: Journal of banking & finance 101 (2019), pp. 206-225
Persistent link: https://www.econbiz.de/10012162674
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Managing risk in multi-asset class, multimarket central counterparties : the CORE approach
Vicente, Luis A. B. G.; Cerezetti, F. V.; De Faria, S. R.; … - In: Journal of banking & finance 51 (2015), pp. 119-130
Persistent link: https://www.econbiz.de/10011377281
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A factor-model approach for correlation scenarios and correlation stress testing
Packham, Natalie; Wöbbeking, Carl Fabian - In: Journal of banking & finance 101 (2019), pp. 92-103
Persistent link: https://www.econbiz.de/10012162627
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An evaluation of bank measures for market risk before, during and after the financial crisis
O'Brien, James M.; Szerszeń, Paweł J. - In: Journal of banking & finance 80 (2017), pp. 215-234
Persistent link: https://www.econbiz.de/10011816277
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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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Developing a stress testing framework based on market risk models
Alexander, Carol; Sheedy, Elizabeth A. - In: Journal of banking & finance 32 (2008) 10, pp. 2220-2236
Persistent link: https://www.econbiz.de/10003778713
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Credit spread changes within switching regimes
Chun, Olfa Maalaoui; Dionne, Georges; François, Pascal - In: Journal of banking & finance 49 (2014), pp. 41-55
Persistent link: https://www.econbiz.de/10010508076