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A bottom-up, reduced form credit risk model approach for the determination of collateralised loan obligation capital
Jarrow, Robert A.; Deventer, Donald R. van - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 237-255
Persistent link: https://www.econbiz.de/10014320229
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Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach
Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10010526458
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The gentle proposal : a model of applied defoult probabilities and GARCH volatility
Corelli, Angelo - In: Journal of risk management in financial institutions 4 (2010/11) 1, pp. 46-56
Persistent link: https://www.econbiz.de/10008905799
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Credit Bu VaR : asymmetric spread VaR with default
Wong, Max - In: Journal of risk management in financial institutions 5 (2011/12) 1, pp. 86-95
Persistent link: https://www.econbiz.de/10009503106
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
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Counterparty credit risk : news, views and open issues
Böcker, Klaus; Stamm, Roland - In: Journal of risk management in financial institutions 5 (2011/12) 3, pp. 227-233
Persistent link: https://www.econbiz.de/10009565854
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Sustainable profitability in volatile cyclical markets
Sarraf, Hanna - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 182-189
Persistent link: https://www.econbiz.de/10012250026
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Economic capital: A brief history and practical applications today
Ferguson, Tally - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10012041840
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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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A generalised latent Poisson factor modelling approach for default correlations in credit portfolios
Saidane, Mohamed - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 89-105
Persistent link: https://www.econbiz.de/10014489156